OSlOlSO - 1 year ago 177

R Question

I have a count time series data which I'm able to use to determine the parameters of the underlying stochastic process. For example say I have a SARIMA (p,d,q)(P,D,Q)[S] seasonal ARIMA model.

How do I use this to generate a new count time series data set?

Being even more specific: a SARIMA(1,0,1)(1,0,0)[12] - how can I generate a time series for a 10 year period for each month? (i.e., 120 points to estimate the number of 'counts'.)

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Answer Source

Use `simulate.Arima()`

from the `forecast`

package. It handles seasonal ARIMA models whereas `arima.sim()`

does not.

However, ARIMA models are not suitable for count time series as they assume the process is defined on the whole real line.

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