Solved – R: How to to simulate ARIMA using starting values

arimartime series

I have built an ARIMA(p,d,q) model, m using say,

m <- Arima(ts.data, c(p,d,q))

Given some starting values, I want to simulate future values based on the model m. I can manually code it but there must be a way to simulate it. In arima.sim there doesn't seem to be a way to specify the starting values.

Best Answer

You can use the Arima function from the forecast package to do this

new.starting.value <- c(0.5,0.55) # or any other value you want 
new.arima.object <- Arima(new.starting.value, model = arima.model.object)
# the simulate function will give you the simulated values
simulate.Arima(new.arima.object, nsim = 40, future = T) #this will simulate 40 periods into the future

Related Solutions

Solved – Initialize ARIMA simulations with different time-series

You can "fit" the model to different data and then simulate:

m2 <- Arima(z,model=m1)
simulate.Arima(m2,future=TRUE,bootstrap=TRUE)

m2 will have the same parameters as m1 (they are not re-estimated), but the residuals, etc., are computed on the new data.

However, I am concerned with your model. Seasonal models are for when the seasonality is fixed and known. With animal population data, you almost certainly have aperiodic population cycling. This is a well-known phenomenon and can easily be handled with non-seasonal ARIMA models. Look at the literature on the Canadian lynx data for discussion.

By all means, use the square root, but then I would use a non-seasonal ARIMA model. Provided the AR order is greater than 1, it is possible to have cycles. See

You can do all this in one step:

m1 <- auto.arima(y, lambda=0.5)

Then proceed with your simulations as above.

ARIMA Model in R – How to Simulate Using Same Starting Values as Original Time Series?

Try this:

library(forecast)
fit <- auto.arima(wineind)
plot(wineind)
lines(simulate(fit,future=FALSE), col='red')

enter image description here

Best Answer

Related Solutions

Solved – Initialize ARIMA simulations with different time-series

ARIMA Model in R – How to Simulate Using Same Starting Values as Original Time Series?

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