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Kernel smoothed prediction intervals for ARMA models

✍ Scribed by Klaus Abberger


Book ID
106045104
Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
612 KB
Volume
47
Category
Article
ISSN
0932-5026

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πŸ“œ SIMILAR VOLUMES


Simultaneous prediction intervals for AR
✍ John P. Nolan; Nalini Ravishanker πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 175 KB

## 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