| 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.