are unknown, it is possible to give prediction intervals in the frequentist sense, i.e., an interval [a, b] based on statistics of the sample such that on repeated experiments, X_n+1 falls in the interval the desired percentage of the time; one may call these "predictive confidence intervals".

A general technique of frequentist prediction intervals is to find and compute a pivotal quantity of the observables X₁, ..., X_n, X_n+1