Is it possible to get confidence intervals in LSTM forecasting?

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Joaquim Assunção

https://datascience.stackexchange.com/questions/24403/prediction-interval-around-lstm-time-series-forecast

Guy Mélard

For one-step-ahead forecasts, confidence intervals are based on the distribution of residuals, either assumed (e.g. normal with a mean 0 and an estimated standard deviation, possibly with a transformation), or empirical. The problem is much more complex, to say the least, for several step-ahead forecasts, except in the special case of independence and normality of the true errors. I don't know LSTM (you should provide more details about that) so I cannot help you for the mathematical details.

Wolfgang Hitzl

I think one can use bootstrap or jackknife methods to end up with confidence intervals for predictions made with LSTM