Transient Effects in Conditional Mean Model Simulations

When you use automatically generated presample data, you often see some transient effects at the beginning of the simulation. This is sometimes called a burn-in period. For stationary processes, the impulse response function decays to zero over time. This means the starting point of the simulation is eventually forgotten. To reduce transient effects, you can:

For nonstationary processes, the starting point is never forgotten. By default, all realizations of nonstationary processes begin at zero. For a nonzero starting point, you need to specify your own presample data.

Related Examples

• Simulate Stationary Processes
• Simulate Trend-Stationary and Difference-Stationary Processes

More About

• Monte Carlo Simulation of Conditional Mean Models
• Presample Data for Conditional Mean Model Simulation
• Monte Carlo Forecasting of Conditional Mean Models