Simulating the Continuation of a Time Series in R

The simulation of the continuation of a given time series is useful for many practical appli-cations. 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 ob-served 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 ex-ample demonstrates the correctness and practical relevance of the new idea. seasonal ARIMA, simulation, R