Why does the confidence interval increases when using kalman(LLP5)?

[rosho]

Hi,
I am forecasting using Kalman filter with LLP5.
Why does the future confidence interval increases with time? Meanwhile, with LLP, it is stable?

LLP5

LLP

Thank you

[nitinat3590]

The confidence interval increases over time because the algorithm needs more “leeway” to fulfill its promise of 95% confidence level. Confidence interval is not about if the prediction is an outlier or not. It’s about accuracy of prediction.

Refer page48 - https://conf.splunk.com/files/2019/slides/FN1213.pdf