Let X1, ..., Xn be i.i.d. from a continuous c.d.f. F on R and X0 be a future observation that is independent of Xi's and has the c.d.f. F. Suppose that F is strictly increasing in a neighborhood of F-1(α/2) and a neighborhood of F-1(1 - α/2). Let Fn be the empirical c.d.f. defined. Show that the prediction interval C(X) = [F-1n (α/2), F-1n (1 - α/2)] for X0 satisfies P(X0∈ C(X)) → 1 - α, where P is the joint distribution of (X0, X1, ..., Xn).