Add generate method for VAR

DESCRIPTION

@@ -67,4 +67,4 @@ Encoding: UTF-8
 Language: en-GB
 Roxygen: list(markdown = TRUE, roclets=c('rd', 'collate',
     'namespace'))
-RoxygenNote: 7.2.3
+RoxygenNote: 7.3.1

NAMESPACE

@@ -28,6 +28,7 @@ S3method(generate,ETS)
 S3method(generate,NNETAR)
 S3method(generate,RW)
 S3method(generate,TSLM)
+S3method(generate,VAR)
 S3method(generate,model_mean)
 S3method(glance,AR)
 S3method(glance,ARIMA)

NEWS.md

@@ -1,5 +1,9 @@
 # fable (development version)
 
+## New features
+
+* Added generate() method for VAR models
+
 # fable 0.3.4
 
 Small patch to resolve issues in C++ R headers.

R/var.R

@@ -381,3 +381,51 @@ report.VAR <- function(object, ...) {
     )
   )
 }
+
+#' @inherit generate.ETS
+#' 
+#' @export
+generate.VAR <- function(x, new_data, specials, ...){
+  if (!".innov" %in% names(new_data)) {
+    new_data[[".innov"]] <- generate(distributional::dist_multivariate_normal(list(matrix(0, ncol = K)), x$fit$sigma2), nrow(new_data))[[1L]]
+  }
+
+  kr <- key_data(new_data)$.rows
+  h <- lengths(kr)
+  p <- x$spec$p
+  coef <- x$coef
+  K <- NCOL(coef)
+
+  # Get xreg
+  xreg <- specials$xreg[[1]]$xreg
+
+  # Generate paths
+  var_sim <- function(i) {
+    if (x$spec$constant) {
+      xreg <- cbind(constant = rep_len(1, length(i)), xreg)
+    }
+
+    .innov <- new_data$.innov[i,]
+
+    .sim <- matrix(NA, nrow = h, ncol = K)
+    y_lag <- matrix(0, nrow = p, ncol = K)
+    y_lag <- x$last_obs
+    for (i in seq_len(h)) {
+      if (is.null(xreg)) {
+        Z <- c(t(y_lag))
+      }
+      else {
+        Z <- c(t(y_lag), t(xreg[i, ]))
+      }
+      .sim[i, ] <- t(coef) %*% Z + .innov[i,]
+      y_lag <- rbind(.sim[i, , drop = FALSE], y_lag)[seq_len(p), , drop = FALSE]
+    }
+
+    .sim
+  }
+
+  .sim <- do.call(rbind, lapply(kr, var_sim))
+
+  new_data[colnames(coef)] <- split(.sim, col(.sim))
+  new_data
+}