Thank you for your suggestion, Juan. However, I have tried to specify
the innovations and this doesn't seem to solve the problem.
Are there really no opportunities to simulate from a (S)ARIMA model
using past observations in R, besides to make the whole script from
the ground?
Knut
Siterer Juan Pablo Calle <mi.rhelp...@gmail.com>:
Hi Knut,
The arima.sim function, in the stats package, has an argument
innov="YourSerie" for the innovations, you should try something like:
arima.sim(list(order=c(p,d,q), ar=c(ar coefficients), ma=c(ma
coefficients), seasonal=list(order=c(P,D,Q), period=NA)), n=N,
innov=YourSerie)
I'm not sure, but maybe this help you.
Salute.
Juan.
On 2010-10-28, at 8:08 PM, Knut Erik Vedahl wrote:
Hi,
I'm currently working with a SARIMA model from which I want to make
simulations. As I understand, neither sarima.Sim nor the functions
in the gsarima package use historic realizations of the time series
to simulate future values. However, I want to use historic values
as input and simulate future values based on the history. Anyone
who know whether such a function is available in the libaries or
anywhere else?
Thanks for any help!
Knut
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