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How can I show error bars for a time series forecast?

TripartioTripartio Member Posts: 26 Contributor II
edited November 24 in Help
Hello,

How can I show error bars when visualizing a time series forecast?  I can easily plot the forecast, but I do not know how to make error bars (e.g., 95% confidence interval estimates) visible. What I mean is displaying something like this (not from RapidMiner):



Regards,
Chitu

Answers

  • jwpfaujwpfau Employee, Member Posts: 106   RM Engineering
    Hi,

    have a look at the first Tutorial Process of the Forecast Validation operator.
    This gives you the label and the prediction which you can easily plot.

    Greetings,
    Jonas
  • TripartioTripartio Member Posts: 26 Contributor II
    edited November 24
    Hi Jonas,

    I did exactly what you said. Here is the available data for plotting:



    But I do not see anything here that can give me the kind of error bars like in the far right of the picture that I originally posted:




    Do you understand my request better now?

    Regards,
    Chitu
  • jwpfaujwpfau Employee, Member Posts: 106   RM Engineering
    Hi Chitu,

    i can't see the snipboard pictures, can you try to use the community image upload instead?

    Greetings,
    Jonas
  • TripartioTripartio Member Posts: 26 Contributor II
    Hi Jonas,

    I have edited the messages above with images uploaded from my computer instead of linked from Snipboard. Can you see them now?

    Regards,
    Chitu
  • yyhuangyyhuang Administrator, Employee, RapidMiner Certified Analyst, RapidMiner Certified Expert, Member Posts: 354  RM Data Scientist
    Assuming normally distributed errors, 95% prediction intervals are given by 

    y±1.96* σ, 

    where σ^2 is the estimated variance of the residuals. For the forecasted values, you can generate the prediction interval based on the formula above.

    Some other exercise in R could be helpful for understand the prediction interval
    https://stats.stackexchange.com/questions/323071/confidence-intervals-for-mean-difference-between-actuals-and-forecast?rq=1

    I think that an excellent review by Chris Chatfield regarding  Prediction Intervals will answer most of your questions.
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