statsmodels.tsa.forecasting.theta.ThetaModelResults.prediction_intervals¶
- ThetaModelResults.prediction_intervals(steps: int = 1, theta: float = 2, alpha: float = 0.05) pandas.core.frame.DataFrame [source]¶
- Parameters
- Returns
DataFrame
DataFrame with columns lower and upper
Notes
The variance of the h-step forecast is assumed to follow from the integrated Moving Average structure of the Theta model, and so is \(\sigma^2(1 + (h-1)(1 + (\alpha-1)^2)\). The prediction interval assumes that innovations are normally distributed.