Simultaneous Prediction Intervals for ARMA Processes with Stable Innovations

被引：6

作者：

Nolan, John P. ^{[1
]}

Ravishanker, Nalini ^{[2
]}

机构：

[1] American Univ, Dept Math Stat, Washington, DC 20016 USA

[2] Univ Connecticut, Dept Stat, Storrs, CT 06269 USA

来源：

JOURNAL OF FORECASTING | 2009年 / 28卷 / 03期

关键词：

heavy-tailed time series prediction; multivariate stable distribution; discrete spectral measure; probability inequalities;

D O I：

10.1002/for.1102

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 (C) 2008 John Wiley & Sons, Ltd.

引用

页码：235 / 246

页数：12

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