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A prediction interval (also forecast interval) is an interval that covers the future (or otherwise unknown, but *observable*) value of a random variable with some prespecified probability.

A prediction interval is an interval that covers the future (or otherwise unknown) value of a random variable with some prespecified probability.

Prediction intervals are conceptually related to confidence intervals, but they are not the same. A prediction interval pertains to a realization (which has not yet been observed, but will be observed in the future), whereas a confidence interval pertains to a parameter (which is in principle not observable, e.g., the population mean).

In the time series context, prediction intervals are known as forecast intervals.

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