✦ LIBER ✦

Simultaneous prediction intervals for ARMA processes with stable innovations

✍ Scribed by John P. Nolan; Nalini Ravishanker

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 175 KB
Volume: 28
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1102

No coin nor oath required. For personal study only.

✦ Synopsis

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, but we show that Monte Carlo estimates of the interval width is practical. Copyright © 2008 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

One-sided Simultaneous Prediction Interv

One-sided Simultaneous Prediction Intervals for AR(1) and MA(1) Processes with Exponential Innovations

✍ M. TERESA ALPUIM 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB

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 duri

10. Reliability : Prediction and confide

10. Reliability : Prediction and confidence interval procedures for lognormal and Gumbel processes with applications to reliability

✍ K.V. Suryanarayana 📂 Article 📅 1984 🏛 Elsevier Science 🌐 English ⚖ 73 KB