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Calculate prediction bands in Proc ESM

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Occasional Contributor
Posts: 9
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Calculate prediction bands in Proc ESM

Hi All,

 

I ran Holt winters additive time series model on my time series. As a default outputs, I have got 95% confidence interval for my forecast in one of the SAS output summary. Is there any way that I can get prediction intervals for forecast in the outputs as well? Prediction interval is different from confidence interval.

Please let me know.

 

Thanks!

Kishore


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‎05-17-2017 08:32 AM
SAS Employee
Posts: 29

Re: Calculate prediction bands in Proc ESM

[ Edited ]

 Hi,

 

Are you using PROC ESM or PROC forecast?

 

If using PROC ESM, the OUTFOR data set contains the prediction intervals. See http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/etsug_esm_details10.htm#etsug_e...

 

If using PROC FORECAST, I encourage you to use PROC ESM instead, which superseeded PROC FORECAST. See here:

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_forecast_overv...

 

Michele 

 

 

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‎05-17-2017 08:32 AM
SAS Employee
Posts: 29

Re: Calculate prediction bands in Proc ESM

[ Edited ]

 Hi,

 

Are you using PROC ESM or PROC forecast?

 

If using PROC ESM, the OUTFOR data set contains the prediction intervals. See http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/etsug_esm_details10.htm#etsug_e...

 

If using PROC FORECAST, I encourage you to use PROC ESM instead, which superseeded PROC FORECAST. See here:

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_forecast_overv...

 

Michele 

 

 

Occasional Contributor
Posts: 9

Re: Calculate prediction bands in Proc ESM

[ Edited ]

Thanks for your reply. I was getting confused between CIs & PIs. As you clarified in the case of PROC ESM it would be PI by default. Thanks a ton.

SAS Employee
Posts: 29

Re: Calculate prediction bands in Proc ESM

You are correct that the documentation is a bit confusing in that. I will change it to make it clearer. Thanks for pointing it out. 

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