I'm trying to implement a multivariate nearest neighbour method in R to use in time-series forecasting (reference: Reick and Page, 2000). I managed to validate the model (with cross-validation), and now I'd like to calculate prediction intervals for the forecast values. My question is, how to calculate them, and what is the best way to do it?
Any thoughts and suggestions would be highly appreciated, I've never worked with this type of forecasting method before.
EDIT: I just found this reference that seems useful, I'm studying the article now... still any suggestions on this matter would be appreciated.