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Enhancement Request - Add ability to specify innovations for simulation #318
Description
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:
ar1 = SARIMA(y,order=(1,0,0),include_mean=true)
StateSpaceModels.fit!(ar1)
ar_sim = simulate_scenarios(ar1,1,1000)[1,1,:]
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)
Activity
guilhermebodin commentedon Feb 16, 2023
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_scenariosfunction only for ARIMA models, would you like to make a contribution to the package in that sense?dompazz commentedon Feb 16, 2023
Makes sense. Unfortunately, I likely won't have time to write it myself, but if I find I have a weekend, I'll give it a go.