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Prediction Intervals for ARIMA Models

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Author Info

  • Snyder, Ralph D
  • Ord, J Keith
  • Koehler, Anne B

Abstract

The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals that incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationarity and invertibility conditions is also incorporated. Two new methods, based on varying degrees of first-order Taylor approximations, are proposed. These are compared in a simulation study to two existing methods, a heuristic approach and the "plug-in" method whereby parameter values are set equal to their maximum likelihood estimates. A comparison of the four methods is also made for quarterly retail sales for 10 Organization for Economic Cooperation and Development countries. The new approaches provide a systematic improvement over existing methods.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 19 (2001)
Issue (Month): 2 (April)
Pages: 217-25

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Handle: RePEc:bes:jnlbes:v:19:y:2001:i:2:p:217-25

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Cited by:
  1. J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005. "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers 7/05, Monash University, Department of Econometrics and Business Statistics.
  2. Forbes, C.S. & Snyder, R.D. & Shami, R.S., 2000. "Bayesian Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 7/00, Monash University, Department of Econometrics and Business Statistics.
  3. Ralph D. Snyder, 2004. "Exponential Smoothing: A Prediction Error Decomposition Principle," Monash Econometrics and Business Statistics Working Papers 15/04, Monash University, Department of Econometrics and Business Statistics.
  4. Rob Hyndman & Muhammad Akram & Blyth Archibald, 2008. "The admissible parameter space for exponential smoothing models," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(2), pages 407-426, June.

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