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Simultaneous prediction intervals for ARMA processes with stable innovations

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Author Info
John P. Nolan (Math|Stat Department, American University, Washington, DC, USA)
Nalini Ravishanker (Department of Statistics, University of Connecticut, Storrs, CT, USA)
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. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1102
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 28 (2009)
Issue (Month): 3 ()
Pages: 235-246
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:235-246

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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This page was last updated on 2009-12-10.

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