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Simulate from a Multi-Seasonal ARIMA Model

Source: R/simulate.R
simulate.msarima.Rd

Returns a simulated time series from a fitted ARIMA model with one or more seasonal components.

Usage

# S3 method for class 'msarima'
simulate(object = NULL, nsim = 100, seed = NULL, burn = NULL, ...)

Arguments

object

An object of class "msarima".

nsim

Length of the simulated series. Default is 100.

seed

Either NULL or an integer passed to set.seed before simulating, to make the result reproducible. Default is NULL.

burn

Number of burn-in observations to discard. If NULL, it is set by msarima.sim to max(100, 2 * kk), where kk is the largest lag in the model. Default is NULL.

...

Additional arguments (currently not used).

Value

A time series object (ts or msts) of length nsim, with the seasonal periods of the fitted model.

Details

The model specification and the estimated parameters, including the constant term when the model was fitted with include.constant = TRUE, are extracted from the fitted object and passed to msarima.sim.

See also

msarima, msarima.sim

Examples

# Simulate data
set.seed(123)
y <- msarima.sim(nsim = 200,
                 order = c(1, 0, 0),
                 seasonal = list(c(1, 0, 0), c(0, 0, 1)),
                 seasonal.period = c(4, 11),
                 ar = c(0.5, 0.5), ma = 0.3, sigma2 = 1)

# Fit model
fit <- msarima(y, order = c(1, 0, 0),
               seasonal = list(c(1, 0, 0), c(0, 0, 1)),
               seasonal.period = c(4, 11))

# Simulate from fitted model
y_sim <- simulate(fit, nsim = 100)