Simultaneous prediction intervals for ARMA processes with stable innovations
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DOI: 10.1002/for.1102
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References listed on IDEAS
- Glaz, Joseph & Ravishanker, Nalini, 1991. "Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 57-63, July.
- Cline, Daren B. H. & Brockwell, Peter J., 1985. "Linear prediction of ARMA processes with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 281-296, April.
- Zuqiang Qiou & Nalini Ravishanker, 1998. "Bayesian Inference for Time Series with Stable Innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(2), pages 235-249, March.
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Cited by:
- Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
- Giovanni Fonseca & Federica Giummolè & Paolo Vidoni, 2021. "A note on simultaneous calibrated prediction intervals for time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 317-330, March.
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