Simultaneous prediction intervals for ARMA processes with stable innovations

Simultaneous prediction intervals for ARMA processes with stable innovations

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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: ,
Keywords: ARIMA processes
Abstract:

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.

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