Simulating the Continuation of a Time Series in R

TL;DR

This paper demonstrates how to use seasonal ARIMA models in R to simulate the continuation of a given time series, providing a practical method where no standard procedure previously existed.

Contribution

It introduces a novel approach using SARIMA models for time series continuation and provides R code for practical implementation.

Findings

The method accurately simulates time series continuation.

The R implementation is straightforward and effective.

The approach is validated with a small example.

Abstract

The simulation of the continuation of a given time series is useful for many practical applications. But no standard procedure for this task is suggested in the literature. It is therefore demonstrated how to use the seasonal ARIMA process to simulate the continuation of an observed time series. The R-code presented uses well-known modeling procedures for ARIMA models and conditional simulation of a SARIMA model with known parameters. A small example demonstrates the correctness and practical relevance of the new idea.