Advances and Applications in Statistics
Volume 48, Issue 4, Pages 241 - 255
(April 2016) http://dx.doi.org/10.17654/AS048040241 |
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COVERAGE PROBABILITY OF A PREDICTION INTERVAL FOR A SEASONAL AR(1) PROCESS
Monchaya Chiangpradit and Sa-aat Niwitpong
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Abstract: A new prediction interval for a seasonal AR(1) process is investigated in this paper. The coverage probability of a new prediction interval for a seasonal AR(1) is also derived. It is found that structure of coverage probability is independent from parameter of a random error, but it is a function of the autoregressive parameter only. Monte Carlo simulation shows that a new prediction interval has a desired minimum coverage probability. Moreover, we show an empirical application to compare the proposed method. |
Keywords and phrases: prediction interval, coverage probability, seasonal AR(1) process. |
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