# How to construct confidence bound for Time Series Prediction?

I have some time series data and am using some Deep Learning techniques to get its prediction. Now, I would like to construct confidence bounds for it.

I calculated the residuals, their mean and standard deviation. Then I plotted prediction vs residuals and calculated mean + 3$$\sigma$$ and mean - 3$$\sigma$$, and plotted them on my graph. So, I have something like this

Now, I would like to use a similar technique so that I can have confidence bounds on time series plots.

• Related 10814. See confidence interval plot for time series prediction near end of that answer. – Edmund May 29 at 1:02

There is a technique called "Quantile Regression" which allows you to calculate a percentile of your $$Y$$ variable, the way a quantile regression works is by giving more penalty to the data far to the desired percentile.