Burn-in-Free Simulation of VARMA Time Series
Varmapack is a software package for efficient, exact simulation of VARMA time series without a burn-in period. For stationary models, Varmapack can generate initial states and innovations from their joint stationary distribution. Alternatively, the user can supply initial states, in which case innovations are generated from their conditional distribution. The core C library has interfaces to R, Python, and Matlab. It also offers VARMAX simulation and computation of autocovariances and correlations, spectral radii, and impulse responses. Varmapack automatically selects between vector-Yule-Walker and state-space methods for covariance computation and uses level-3 BLAS operations for efficient generation of multiple replicates. Benchmarks on several platforms show substantial performance gains over existing simulation software, ranging from several-fold to more than three orders of magnitude for the packages and models considered. Varmapack is open source and publicly available through GitHub.