I have a time series in R called jj.
> jj
Jan Feb Mar Apr May Jun Jul
1 2.5625072 2.6864995 2.7760495 2.6864995 2.6176149 2.8472302 2.8889086
2 2.4733998 2.5853644 2.3614352 2.5548286 2.2392920 2.2698278 2.3614352
3 2.5833333 1.9444444 2.0092593 2.2222222 2.2222222 2.0092593 2.5446500
4 2.0092593 1.6666667 1.4351852 2.2222222 2.5000000 2.2962963 2.6260788
5 2.8703704 2.2222222 1.7222222 1.6666667 1.6666667 1.7222222 2.2222222
6 2.5259259 1.8333333 1.8944444 1.5277778 2.7500000 2.8897045 2.8703652
7 2.8703704 1.9444444 2.0092593 1.9444444 1.9444444 2.5833333 2.7288827
8 2.0092593 1.3888889 1.1481481 1.1111111 1.1111111 1.1481481 2.2222222
9 1.3777778 1.1111111 0.9185185 0.8888889 1.1111111 1.3777778 0.6666667
10 1.1481481 1.1111111 1.4351852 1.1111111 1.3888889 1.1481481 1.3888889
11 1.7222222 1.3888889 1.1481481 1.3888889 1.3888889 1.4351852 2.2222222
12 2.0092593 1.1111111 0.8611111 1.3888889 1.3888889 1.7222222 2.8286329
13 1.7222222 2.9517940 2.9416154 2.6666667 2.9517940 2.9517940 2.9416154
14 2.9517940 2.7777778 2.2962963 2.5000000 1.9444444 1.7222222 2.2222222
15 2.2962963 1.9444444 2.0092593 2.2222222 1.9444444 2.2962963 2.9426333
16 2.5833333 1.9444444 1.7222222 1.9444444 1.9444444 2.0092593 2.5000000
17 1.7222222 1.3888889 1.4351852 1.3888889 1.1111111 1.1481481 1.9444444
18 1.7222222 1.6666667 1.7222222 2.7777778 2.7777778 2.6861325 2.7604363
19 2.5833333 1.9444444 1.7222222 2.8286329 2.5000000 2.5833333 2.9253296
20 2.8703704 2.5000000 1.7222222 1.6666667 2.2222222 2.2962963 2.7237934
21 2.9277778 2.8968296 2.9517940 2.9517940 2.7777778 2.9314368 2.9416154
22 2.5833333 1.6666667 2.0092593 1.6666667 1.6666667 2.0092593 2.9049724
23 2.0092593 1.3888889 2.8703652 2.7807935 2.7064897 2.9039546 2.9273654
24 2.8703704 1.6666667 2.2962963 2.2222222 2.5000000 2.2962963 2.9517940
25 2.5833333 1.3888889 2.0092593 2.2222222 1.9444444 2.5833333 2.8388115
26 2.8703704 1.3888889 2.0092593 1.6666667 1.6666667 2.0092593 2.9517940
27 2.2962963 1.3888889 2.6861325 1.9444444 1.9444444 2.5833333 2.9517940
28 2.8703704 1.3888889 2.0092593 2.8286329 2.9202403 2.9517940 2.9517940
29 2.8703704 1.6666667 1.7222222 1.3888889 1.6666667 1.4351852 2.9517940
30 1.4351852 1.1111111 0.8611111 1.1111111 1.1111111 1.4351852 2.9517940
31 1.4351852 1.1111111 0.8611111 1.1111111 1.3888889 1.4351852 2.7777778
32 1.4351852 1.3888889 0.8611111 2.2222222 2.2222222 2.5833333 2.8479723
33 2.2962963 1.3888889 2.0092593 2.5000000 2.2222222 2.8703704 2.8347401
34 2.1513000 2.4921000 2.5453500 2.5027500 2.5347000 2.1300000 2.2684500
35 1.7892000 2.3430000 2.3749500 2.2258500 2.5134000 1.8744000 2.1726000
36 1.4590500 2.4921000 2.4814500 2.1619500 1.8424500 2.0341500 1.7253000
37 1.8424500 1.5549000 1.0330500 0.9904500 0.9265500 0.5751000 0.7668000
38 0.7348500 0.9904500 2.3749500 2.3004000 2.8222500 2.8648500 2.9500500
39 2.3536500 2.1513000 2.2684500 1.5229500 0.8946000 0.7774500 1.1715000
40 0.7029000 1.1608500 0.8839500 0.7881000 0.9478500 2.0448000 1.9276500
41 1.0330500 1.6507500 2.0235000 2.6092500 2.4388500 2.5666500 2.8861500
42 1.7679000 2.1300000 2.0661000 2.1832500 2.4175500 2.4388500 2.8435500
43 1.3845000 2.0661000 2.8861500 2.9517940 2.6518500 2.5453500 2.7370500
44 2.0874000 2.1087000 2.0661000 2.7051000 1.8531000 1.2673500 2.1619500
45 1.7276389 2.1373656 1.9451389 1.9963710 1.9757930 1.6044444 1.3500000
46 0.9780556 1.9094086 2.4434722 2.4868280 2.3836022 2.6620833 2.6272849
47 2.2038889 2.3560484 2.1755556 2.1993280 1.9193548 2.2468056 2.5161290
48 1.6276389 1.8481183 2.0204167 2.2172043 1.9631720 1.4890278 1.6551075
49 0.9380556 1.2758065 2.3233333 2.4397849 2.4451613 2.4405556 2.5103495
50 1.4444444 2.2043011 1.9166667 1.9086022 1.9489247 2.1111111 1.8682796
51 2.0139072 2.2568109 2.4786743 1.9108121 2.2756334 1.4880000 1.6814920
Aug Sep Oct Nov Dec
1 2.8828206 2.9262278 2.9162662 2.9030509 2.7553841
2 2.6973290 2.9262278 2.9162662 2.9030509 2.7553841
3 2.2962963 2.9517940 2.9517940 2.9517940 2.7777778
4 2.8416667 2.9517940 2.9517940 2.9517940 2.8703652
5 2.8129630 2.9517940 2.9517940 2.9517940 2.7777778
6 2.8642580 2.9517940 2.9517940 2.9517940 2.8622223
7 2.8713831 2.9517940 2.9517940 2.9517940 2.7777778
8 2.2962963 2.9517940 2.9517940 2.9517940 1.9444444
9 1.3777778 1.3333333 2.0000000 1.9682540 1.5555556
10 2.9436511 2.9517940 2.9517940 2.9517940 2.5000000
11 2.9182046 2.9517940 2.7777778 2.7678571 1.6666667
12 2.8754545 2.9517940 2.9517940 2.9517940 1.9444444
13 2.9314368 2.9517940 2.9517940 2.9009010 2.8296508
14 2.7879185 2.9517940 2.9517940 2.9517940 2.8286329
15 2.9416154 2.9517940 2.9517940 2.9517940 2.9120975
16 2.9039546 2.9517940 2.9517940 2.9216270 2.2222222
17 2.9517940 2.9517940 2.9517940 2.9517940 2.2222222
18 2.8703704 2.9517940 2.9517940 2.9517940 2.9314368
19 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
20 2.9416154 2.9517940 2.9517940 2.9517940 2.9517940
21 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
22 2.9517940 2.9517940 2.9517940 2.9517940 2.7777778
23 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
24 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
25 2.9467047 2.9517940 2.9517940 2.9517940 2.9131153
26 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
27 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
28 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
29 2.9517940 2.9517940 2.9517940 2.9517940 2.5000000
30 2.9517940 2.9517940 2.9517940 2.9517940 2.5000000
31 2.9517940 2.9517940 2.9517940 2.9517940 2.5000000
32 2.9517940 2.9517940 2.9517940 2.9517940 2.7838471
33 2.9517940 2.9517940 2.9500500 2.9500500 2.6518500
34 2.8755000 2.9500500 2.9500500 2.7690000 2.2791000
35 2.8009500 2.9500500 2.9500500 2.7477000 2.0022000
36 2.9181000 2.9500500 2.4814500 2.0874000 1.7146500
37 0.9372000 1.1608500 1.6827000 1.4590500 1.0543500
38 2.8968000 2.8542000 2.8755000 2.8861500 2.5773000
39 1.6294500 2.1406500 2.1406500 1.9170000 1.2034500
40 2.7157500 2.9074500 2.9517940 2.0874000 1.1928000
41 2.7903000 2.9074500 2.9074500 2.9074500 2.7370500
42 2.9517940 2.9517940 2.9517940 2.9517940 2.3110500
43 2.9517940 2.9517940 2.9517940 2.9517940 2.9517940
44 2.9517940 2.9517940 2.9517940 2.7690000 1.8105000
45 1.9430556 2.5471774 2.4963710 1.8916667 1.4965054
46 2.6363889 2.6645161 2.6932796 2.6964286 2.6544355
47 2.6268056 2.6650403 2.5970430 2.5544643 2.1424731
48 2.2509722 2.2399194 2.2094086 1.8453869 1.3264785
49 2.6687500 2.8084677 2.8376344 2.7081845 1.9912634
50 2.4583333 2.8360215 2.8763441 2.6636905 2.0833333
51 2.0464437 2.0434435 1.8343226 1.7039880 1.3593448
I have decided that the best SARIMA fit is SARIMA(1, 0, 0)x(0, 1, 2)12. So I used (from astsa package) sarima(jj, 1, 0, 0, 0, 1, 2, 12) to fit the model. I get the following results:
Coefficients:
ar1 sma1 sma2 constant
0.7456 -0.7469 -0.1032 -6e-04
s.e. 0.0272 0.0405 0.0429 8e-04
sigma^2 estimated as 0.1201: log likelihood = -223.17, aic = 456.33
$AIC
[1] -1.106286
$AICc
[1] -1.102856
$BIC
[1] -2.077418
Now I would like to generate a new SARIMA(1, 0, 0)x(0, 1, 2)12 model, feed it the variance and parameters I just found, plus the first few values of my time series, then simulate say 500 values, in order to compare the simulated data to the real data in terms of mean, variance, skewness, etc. Is there a function in R to do this? Or am I going about things the wrong way? I thought about using Arima from the forecast package to create the model, then feeding it new starting values (say the first 24 values of my original time series data), then having it predict future values. But I am concerned this does not preserve my variance, and I want to do it as if I didn{t have all the data, just the 24 starting values and the parameters of the model. Thanks!