𝔖 Bobbio Scriptorium
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On Prediction Intervals for Conditionally Heteroscedastic Processes

✍ Scribed by Paul Kabaila; Zhisong He


Book ID
108549485
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
240 KB
Volume
22
Category
Article
ISSN
0143-9782

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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