Simultaneous prediction intervals for AR
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John P. Nolan; Nalini Ravishanker
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Article
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2009
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John Wiley and Sons
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English
β 175 KB
## Abstract We describe a method for calculating simultaneous prediction intervals for ARMA times series with heavyβtailed stable innovations. The spectral measure of the vector of prediction errors is shown to be discrete. Direct computation of highβdimensional stable probabilities is not feasible