When simulating realizations from ARIMA processes, you need presample responses and presample innovations to initialize the conditional mean model. The number of presample responses you need to initialize a simulation are stored in the arima
model property P
. The number of presample innovations you need to initialize a simulation are stored in the property Q
. You can specify your own presample data or let simulate
generate presample data.
If you let simulate
generate default presample data, then:
For stationary processes, simulate
sets presample responses to the unconditional mean of the process.
For nonstationary processes, simulate
sets presample responses to 0.
Presample innovations are set to 0.
If you specify a matrix of exogenous covariates, then simulate
sets the presample responses to 0.