Models describing fluctuations in population size should include both density dependence and stochastic effects. We examine the relative contribution of variation in parameters of the expected dynamics as well as demographic and environmental stochasticity to fluctuations in a population of a small passerine bird, the pied flycatcher, that was newly established in a Dutch study area. Using the theta-logistic model of density regulation, we demonstrate that the estimated quasi-stationary distribution including demographic stochasticity is close to the stationary distribution ignoring demographic stochasticity, indicating a long expected time to extinction. We also show that the variance in the estimated quasi-stationary distribution is especially sensitive to variation in the density regulation function. Reliable population projections must therefore account for uncertainties in parameter estimates which we do by using the population prediction interval (PPI). After 2 years the width of the 90% PPI was already larger than the corresponding estimated range of variation in the quasi-stationary distribution. More precise prediction of future population size than can be derived from the quasi-stationary distribution could only be made for a time span less than about five years.