Presample Data for Conditional Mean Model Simulation

When simulating realizations from ARIMA processes, you need presample responses and presample innovations to initialize the conditional mean model. The number of presample responses you need to initialize a simulation are stored in the arima model property P. The number of presample innovations you need to initialize a simulation are stored in the property Q. You can specify your own presample data or let simulate generate presample data.

If you let simulate generate default presample data, then:

If you specify a matrix of exogenous covariates, then simulate sets the presample responses to 0.

See Also

arima | simulate

Related Examples

• Simulate Stationary Processes
• Simulate Trend-Stationary and Difference-Stationary Processes
• Simulate Multiplicative ARIMA Models
• Simulate Conditional Mean and Variance Models

More About

• Monte Carlo Simulation of Conditional Mean Models
• Transient Effects in Conditional Mean Model Simulations
• Monte Carlo Forecasting of Conditional Mean Models