3 years ago

Joint Probability Distribution of Prediction Errors of ARIMA.

Xin Qin, Jyotirmoy V. Deshmukh

Producing probabilistic guarantee for several steps of a predicted signal follow a temporal logic defined behavior has its rising importance in monitoring. In this paper, we derive a method to compute the joint probability distribution of prediction errors of multiple steps based on Autoregressive Integrated Moving Average(ARIMA) model. We cover scenarios in stationary process and intrinsically stationary process for univariate and multivariate.

Publisher URL: http://arxiv.org/abs/1811.04685

DOI: arXiv:1811.04685v1

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