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Support for simulating time series

Open wouterbles opened this issue 2 years ago • 1 comments

Description

As far as I know StatsForecast currently does not have a "simulate" method for its models, comparable method in statsmodels: https://www.statsmodels.org/dev/generated/statsmodels.tsa.statespace.sarimax.SARIMAX.simulate.html. This method generates a number of possible time series.

Use case

My personal use case is in generating scenarios for stochastic optimization problems. I assume there are more use cases for this method.

wouterbles avatar Mar 04 '23 22:03 wouterbles

I would also find this very useful (my use-case is intervals via Monte Carlo simulation, for forecasts which depend on other forecasts, e.g via exogenous regressors).

brendan-r avatar Jun 14 '23 23:06 brendan-r