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I'm doing time series analysis and I would like to calculate the prediction interval. I have predicted the next 24 values for my time series, but now I would also like to calculate the prediction interval for them (say 95% interval). How to do this? Can someone show me the steps? I found a pdf on the subject, but it only showed how to make the prediction interval for one step-forecast ... here is the pdf if you want to see ...

http://www.learningace.com/doc/2087382/d6c17c68ca3c0a03278d4a97276a0223/forecast-conf-int-11

Update to question:

When answering my question, could you please explain what to do and not redirect me to a R-package or something. I want to know what I'm doing.

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    $\begingroup$ What is your model (the model you have used for prediction)? I guess it is hourly data. $\endgroup$
    – vinux
    Apr 26, 2013 at 8:25
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    $\begingroup$ My model is ARIMA(5,0,8)(2,0,1) and yes, hourly data $\endgroup$
    – jjepsuomi
    Apr 26, 2013 at 8:39
  • $\begingroup$ Do you know how to generate prediction interval for AR(1) model? is AR(1) enough to generalize your model? $\endgroup$
    – vinux
    Apr 26, 2013 at 10:55
  • $\begingroup$ No I do not =) No I don't think that it is. Thank you for your reply! $\endgroup$
    – jjepsuomi
    Apr 26, 2013 at 11:30

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