AbstractBy treating the nonlinear model as if it were linear in the parameterization θ in the neighbourhood of the least squares estimate θC, two‐sided nominally‐q‐prediction intervals can be constructed by applying the usual linear model theory. The quadratic approximation of the expected coverage of the prediction intervals is derived for ap‐parameter nonlinear model. An adjustment of the nominally‐q‐prediction intervals is proposed. It is shown that, to the extent that quadratic approximation is adequate, the actual expected coverage of the adjusted prediction intervals isq.