Q1: Is there any Arima (p,d,q) model that can forecast interventions (pulse) itself? I know that I can use
xreg or even
xtransf arguments as the covariates to include the intervention over the observed time series.
The problem is that I don’t know the new values of the covariates to include in the predict function to do the forecasts.
Q2: Can we simulate (estimate) these new covariates? If yes, how? I think that depends on the probability of having pulse. But how we can estimate these probabilities?
To be more precise, I want to develop a time series model that can capture the interventions and also be able to forecast them! Is that even possible? Maybe I am asking too much :) I appreciate any comment, suggestion or reference.