## 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
✦ LIBER ✦
Multivariate stable ARMA processes with time dependent coefficients
✍ Scribed by M. Shelton Peiris; A. Thavaneswaran
- Publisher
- Springer
- Year
- 2001
- Tongue
- English
- Weight
- 79 KB
- Volume
- 54
- Category
- Article
- ISSN
- 0026-1335
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