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It would be useful to be able to specify the simulated innovations. Often I'm combining ARIMA models for some variables with different models for others and using a copula framework to simulated the system.
Would be helpful to allow something like: ar_sim = simulate_scenarios(ar1,1,1000; innovations=randn(1000))
generically: ar_sim = simulate_scenarios(ar1,n,m; innovations=r)
where r is (n,m)
The text was updated successfully, but these errors were encountered:
Hi, @dompazz, this is somehing that makes more sense in models that don't have uncertainties in the state update equations, we could implement a specialized version of the simulate_scenarios function only for ARIMA models, would you like to make a contribution to the package in that sense?
It would be useful to be able to specify the simulated innovations. Often I'm combining ARIMA models for some variables with different models for others and using a copula framework to simulated the system.
Currently, to simulate 1 step ahead, 1000 times:
Would be helpful to allow something like:
ar_sim = simulate_scenarios(ar1,1,1000; innovations=randn(1000))
generically:
ar_sim = simulate_scenarios(ar1,n,m; innovations=r)
where r is
(n,m)
The text was updated successfully, but these errors were encountered: