One-sided Simultaneous Prediction Intervals for AR(1) and MA(1) Processes with Exponential Innovations
✍ Scribed by M. TERESA ALPUIM
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 205 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0277-6693
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✦ Synopsis
This paper is concerned with the determination of simultaneous con®dence regions for some types of time series models. We derive recursive formulas which allow the determination of the probability for an AR(1) stationary process based on exponential inputs to lie under any sequence of constants during N steps. Also, probabilities of the same form are derived for an MA(1) process, based on an exponentially distributed white noise. Numerical results are obtained and comparison of prediction regions for dierent values of f or y is made. The results show how the use of the correlation structure of the models can reduce the con®dence regions area.