Prediction intervals for first order Markov processes.
Tatiraju S. Murthy · Defense Technical Information Center (DTIC) · 1979
A prediction interval is an interval that contains a future observation with a pre-specified probability. The limits of the interval are functions of known observations from a family of known distributions with given parameters. Though prediction intervals resemble confidence intervals, they differ from the latter conceptually. A confidence interval covers the value of a parameter of a distribution. A prediction interval, on the other hand, encloses the value of a random variable.