Article ID: | iaor200969453 |
Country: | United Kingdom |
Volume: | 28 |
Issue: | 3 |
Start Page Number: | 235 |
End Page Number: | 246 |
Publication Date: | Apr 2009 |
Journal: | Journal of Forecasting |
Authors: | Ravishanker Nalini, Nolan John P |
Keywords: | ARIMA processes |
We describe a method for calculating simultaneous prediction intervals for ARMA times series with heavy-tailed stable innovations. The spectral measure of the vector of prediction errors is shown to be discrete. Direct computation of high-dimensional stable probabilities is not feasible, but we show that Monte Carlo estimates of the interval width is practical.