[ENH] ARIMA prediction intervals

[JoaquinAmatRodrigo]

Describe the feature or idea you want to propose

Hi,

Thank you very much for your excellent work in creating an efficient native Python version of ARIMA.

It would be great if there were the option to estimate prediction intervals with ARIMA.

Describe your proposed solution

Add the option to return prediction intervals in method iterative_forecast() with an addional argument alpha.

Describe alternatives you've considered, if relevant

No response

Additional context

No response

[PredictiveManish]

I want to work on this.

[MatthewMiddlehurst]

Hi, sure have a go but we may ask for revisions depending on how you design it. Feel free to ask in slack if you have any questions and have a read through our contributor guide.

[satwiksps]

Hello @MatthewMiddlehurst @JoaquinAmatRodrigo I’d like to work on this enhancement. I’ll add an optional alpha parameter to iterative_forecast() to return prediction intervals (lower and upper bounds) along with the point forecasts.

[JoaquinAmatRodrigo]

Hi @satwiksps , I am not involved in the development of aeon, so I think @MatthewMiddlehurst or @TonyBagnall are the right people to ask about the steps you should follow to work in this feature. Best,