Calculates the out-of-sample conditional simulated values.
AIRLINE_SIM ([x], order, µ, σ, s, θ, θs, t, seed)
- Required. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
- Optional. Is the time order in the data series (i.e., the first data point's corresponding date (earliest date = 1 (default), latest date = 0)).
Value Order 1 Ascending (the first data point corresponds to the earliest date) (default). 0 Descending (the first data point corresponds to the latest date).
- Optional. Is the model mean (i.e., mu) or the long run mean of the differenced time series.
- Required. Is the standard deviation of the model's residuals/innovations.
- Required. Is the length of seasonality (expressed in terms of lags, where s 1).
- Optional. Is the coefficient of the non-seasonal MA component (see model description).
- Optional. Is the coefficient of the seasonal MA component (see model description).
- Required. Is the forecast time/horizon (expressed in terms of steps beyond the end of the time series).
- Required. Is an unsigned integer for setting up the random number generator(s).
- The underlying model 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 argument (mean) can take any value or be omitted, in which case a zero value is assumed.
- The value of the residuals/innovations standard deviation (sigma) must be positive.
- The season length must be greater than one.
- The input argument for the non-seasonal MA parameter - θ - is optional and can be omitted, in which case no non-seasonal MA component is included.
- The input argument for the seasonal MA parameter - θs - is optional and can be omitted, in which case no seasonal MA component is included.
- The function was added in version 1.63 SHAMROCK.