Simultaneous prediction intervals for ARMA processes with stable innovations

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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Year of publication:	2009
Authors:	Nolan, John P. ; Ravishanker, Nalini
Published in:	Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 28.2009, 3, p. 235-246
Publisher:	John Wiley & Sons, Ltd.

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005635509