Simultaneous prediction intervals for ARMA processes with stable innovations |
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| Authors: | John P Nolan Nalini Ravishanker |
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| Institution: | 1. Math/Stat Department, American University, Washington, DC, USA;2. Department of Statistics, University of Connecticut, Storrs, CT, USA |
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| 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. |
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| Keywords: | heavy‐tailed time series prediction multivariate stable distribution discrete spectral measure probability inequalities |
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