Simultaneous prediction intervals for ARMA processes with stable innovations

John P. Nolan and Nalini Ravishanker
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John P. Nolan: Math|Stat Department, American University, Washington, DC, USA, Postal: Math|Stat Department, American University, Washington, DC, USA
Nalini Ravishanker: Department of Statistics, University of Connecticut, Storrs, CT, USA, Postal: Department of Statistics, University of Connecticut, Storrs, CT, USA

Journal of Forecasting, 2009, vol. 28, issue 3, 235-246

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.

Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:28:y:2009:i:3:p:235-246

DOI: 10.1002/for.1102

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