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Nixtla / statsforecast

Lightning ⚡️ fast forecasting with statistical and econometric models.
https://nixtlaverse.nixtla.io/statsforecast
Apache License 2.0
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Support for simulating time series #433

Open wouterbles opened 1 year ago

wouterbles commented 1 year ago

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.

brendan-r commented 1 year ago

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).