Prediction Intervals for ARIMA Models
نویسندگان
چکیده
منابع مشابه
ARIMA-GARCH and unobserved component models with GARCH disturbances: Are their prediction intervals different?∗
We analyze the effects on prediction intervals of fitting ARIMA models to series with stochastic trends, when the underlying components are heteroscedastic. We show that ARIMA prediction intervals may be inadequate when only the transitory component is heteroscedastic. In this case, prediction intervals based on the unobserved component models tend to the homoscedastic intervals as the predicti...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2001
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500101316970430