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:
For stationary processes,
simulatesets presample responses to the unconditional mean of the process.
For nonstationary processes,
simulatesets presample responses to 0.
Presample innovations are set to 0.
If you specify a matrix of exogenous covariates, then
simulate sets the presample responses to 0.
- Simulate Stationary Processes
- Simulate Trend-Stationary and Difference-Stationary Processes
- Simulate Multiplicative ARIMA Models
- Simulate Conditional Mean and Variance Models