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.es at 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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>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>
>