Computing prediction intervals of Exponential Smoothing models

[amoralico]

I'm not sure whether the way predcition/confidecne intervals is correct.
I think you must use the formulas that appear here
and here
(models ANN, AAN, AAA)

[pavolloffay]

There are more variants of these algorithms if I remember correctly. As a reference I used some literature from Rob J Hyndman and also forecast package from R.

[amoralico]

Yes of course. The general aproximation you use for prediction intervals :
predictValue +- Z95% * sqrt(var(residuals))
is correct, but the variance (var) is different for each model (simple, double and triple).
The last link I suggested (from Rob J Hyndman) shows how to compute these variances analitically, for the models you have implemented in the library (ANN = Simple, AAN = Double, AAA = Triple). I guess they are the Holt-Winters additive models.