๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS

โœ Scribed by W. K. Li; A. I. McLeod


Book ID
111039562
Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
631 KB
Volume
9
Category
Article
ISSN
0143-9782

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๐Ÿ“œ SIMILAR VOLUMES


Simultaneous prediction intervals for AR
โœ John P. Nolan; Nalini Ravishanker ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 175 KB

## Abstract We describe a method for calculating simultaneous prediction intervals for ARMA times series with heavyโ€tailed stable innovations. The spectral measure of the vector of prediction errors is shown to be discrete. Direct computation of highโ€dimensional stable probabilities is not feasible