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
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