Linear prediction of ARMA processes with infinite variance
β Scribed by Daren B.H. Cline; Peter J. Brockwell
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 794 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0304-4149
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π SIMILAR VOLUMES
A new method for estimating the parameters of an ARMA process is presented. The method consists of three linear least-squares estimations. In the first an autoregressive model is fitted to the observation sequence, yielding an estimate of the values of the driving white noise sequence. Linear least
## 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