Simultaneous prediction intervals for ARMA processes with stable innovations
AbstractWe 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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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 28 (2009)
Issue (Month): 3 ()
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
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