Merge pull request #61 from LAMPSPUC/handle_nan_residuals_simulation

avoid simulating NaN residuals in residuals boostrapping

Author: andreramosfdc

Project.toml

@@ -1,7 +1,7 @@
 name = "StateSpaceLearning"
 uuid = "971c4b7c-2c4e-4bac-8525-e842df3cde7b"
 authors = ["andreramosfc <[email protected]>"]
-version = "2.0.0"
+version = "2.0.1"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

src/models/structural_model.jl

@@ -1465,13 +1465,13 @@ function simulate_states(
         start_idx = 1
         final_idx = T
         outlier_values = model.output.components["o"]["Coefs"]
-        #stochastic_outliers_set = get_stochastic_values(outlier_values, steps_ahead, T, 1, T, seasonal_innovation_simulation)
         stochastic_outliers_set = rand(outlier_values, steps_ahead)
     end
 
     if !punctual
-        #stochastic_residuals_set = get_stochastic_values(model.output.ε, steps_ahead, T, 1, T, seasonal_innovation_simulation)
-        stochastic_residuals_set = rand(model.output.ε, steps_ahead)
+        stochastic_residuals_set = rand(
+            model.output.ε[findall(i -> !isnan(i), model.output.ε)], steps_ahead
+        )
     end
 
     for t in (T + 1):(T + steps_ahead)