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Results tagged with simulation
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user 13138
A vast area which includes generating results from computer models.
18
votes
1
answer
1k
views
$ARIMA(p,d,q)+X_t$, Simulation over Forecasting period
Question:
How can I develop an efficient simulation procedure to take into account the occurrence of 1’s in the simulated $X_t$ over the forecasting period? … The probability of observing 1 is too small for me to think that the regular Monte Carlo simulation will work well in this case. …
- 7,584
7
votes
1
answer
608
views
Simulation of forecasted values in ARIMA (0,1,1)
I want to perform a simulation study to obtain the mean of the forecasted values and the 95% forecasting intervals and compare them with the “Exact” mean and 95 forecasting intervals. … Question: Why the upper and lower confidence intervals based on the simulation are different from the exact values? While the mean are close to the exact value. Where is my mistake? …
- 7,584
7
votes
Accepted
Simulate ARIMA by hand
The warning is because the normal optimization for the MLE has reached the default maximum number of iterations before convergence. You can increase that by adding optim.control = list(maxit = ?) at t …
- 7,584