Calculates the out-of-sample simulated values.

## Syntax

**ARMA_SIM**(

**X**,

**Order**,

**mean**,

**sigma**,

**phi**,

**theta**,

**T**,

**seed**)

**X** is the univariate time series for the latest observation (a one dimensional array of cells (e.g. rows or columns)).

**Order** is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).

Order | Description |
---|---|

1 | ascending (the first data point corresponds to the earliest date) (default) |

0 | descending (the first data point corresponds to the latest date) |

**mean** is the ARMA model long-run mean (i.e. mu).

**sigma** is the standard deviation of the model's residuals/innovations.

**phi** are the parameters of the AR(p) component model (starting with the lowest lag).

**theta** are the parameters of the MA(q) component model (starting with the lowest lag).

**T** is the simulation time/horizon (expressed in terms of steps beyond end of the time series).

**seed** is an unsigned integer for setting up the random number generator(s).

## Remarks

- The underlying model is described here.
- The Log-Likelihood Function (LLF) is described here.
- ARMA_SIM returns an array of one simulation path starting from the end of the input data.
- The input data argument (i.e. latest observations) is optional. If omitted, an array of zeroes is assumed.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g. #N/A) at either end.
- The long-run mean can take any value or be omitted, in which case a zero value is assumed.
- The residuals/innovations standard deviation (sigma) must be greater than zero.
- For the input argument - phi:
- The input argument is optional and can be omitted, in which case no AR component is included.
- The order of the parameters starts with the lowest lag.
- One or more parameters may have missing values or an error code (i.e. #NUM!, #VALUE!, etc.).
- The order of the AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).

- For the input argument - theta:
- The input argument is optional and can be omitted, in which case no MA component is included.
- The order of the parameters starts with the lowest lag.
- One or more values in the input argument can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
- The order of the MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).

- The function was added in version 1.63 SHAMROCK.

## Files Examples

## References

- D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
- James Douglas Hamilton; Time Series Analysis; Princeton University Press; 1st edition(Jan 11, 1994), ISBN: 691042896
- Tsay, Ruey S.; Analysis of Financial Time Series; John Wiley & SONS; 2nd edition(Aug 30, 2005), ISBN: 0-471-690740
- Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848
- Walter Enders; Applied Econometric Time Series; Wiley; 4th edition(Nov 03, 2014), ISBN: 1118808568

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