In statistical inference, we can obtain an interval estimator for the parameter of interest. Also, one can obtain a prediction interval for a future observation with a certain probability. Tolerance interval is another type of interval for a random variable. Tolerance interval is another type of interval for random variable which is defined as Tolerance interval can be calculated for any distribution based on sample. In this thesis, we are interested for obtaining the tolerance intervals for some models of time series such as autoregressive models.
