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FORECASTING WITH PREDICTION INTERVALS FOR PERIODIC ARMA MODELS
Paul L Anderson1, Mark M Meerschaert, Kai Zhang
1Department of Mathematics and Computer Science, Albion College, Albion MI 49224. Panderson@albion.edu.
Abstract:
Periodic autoregressive moving average (PARMA) models are indicated for time series whose mean, variance, and covariance function vary with the season. In this paper, we develop and implement forecasting procedures for PARMA models. Forecasts are developed using the innovations algorithm, along with an idea of Ansley. A formula for the asymptotic error variance is provided, so that Gaussian prediction intervals can be computed. Finally, an application to monthly river flow forecasting is given, to illustrate the method.
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