IDEAS home Printed from
   My bibliography  Save this article

Simultaneous prediction intervals for ARMA processes with stable innovations


  • John P. Nolan

    (Math|Stat Department, American University, Washington, DC, USA)

  • Nalini Ravishanker

    (Department of Statistics, University of Connecticut, Storrs, CT, USA)


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.

Suggested Citation

  • John P. Nolan & Nalini Ravishanker, 2009. "Simultaneous prediction intervals for ARMA processes with stable innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 235-246.
  • Handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:235-246
    DOI: 10.1002/for.1102

    Download full text from publisher

    File URL:
    File Function: Link to full text; subscription required
    Download Restriction: no

    References listed on IDEAS

    1. Glaz, Joseph & Ravishanker, Nalini, 1991. "Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 57-63, July.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:235-246. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.