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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
110.0160.0130.0151.657597595980154.49774517253388
124.7256641447982-3.181554540995633.531842720909890.9926195901150115.50219197166035
13-13.50567573497460.447596899999438-8.09177661330157-4.50441968274459-5.67136776607283
14-13.5056757349746-12.0610725318197-13.60827651404691.26415411253718-9.5930793970455
1513.4296757349746-0.4835968999994384.926485029032263.894981069899052.54256707707321
212.019088058087923.844556127225951.8694236105732-1.02674422886765-1.17082282791266
220.0130.01-0.791793691216885-1.01366914053753-3.69585799872982
230.013-2.05173412240406-0.50016961174254-0.0762313329762973-4.28113757559502
242.019088058087921.782822004821892.16104769004755-1.258022926694461.97805868501143
250.0130.010.821793691216885-0.147047364850514-4.28443119595711
31-4.54191041870792-7.53630914777366-3.336272778088720.114049954609491-3.33911596314961
32-4.54191041870792-0.389099999833839-3.842129427530561.11351358904396-2.45729654446723
334.553910418707923.980704573803756.581801731555371.28229988417898.82138891782027
340.0063.582604573969912.73267230402481-0.120628734784646.7603571788574
35-4.54191041870792-0.389099999833839-5.82786318002771-1.395928618963543.12554026348018

Parameter NameInputAn input expression?Delimiter
InputMeans
InputVariances
StateTransitionFromToMatrix
IsStartStateKnown
GivenStartState
StartStateProbabilities
NumberSimulations
NumberTimePeriods
NumberStates
NumberVariables
RandSeed
WeightToEndState
UseEqualQuantileSpacingsForTransitions
UseEqualQuantileSpacingsWithinStates

Calculation description
Time-stamp calculation?  
  


Function Description

Returns an array providing simulated output from a multivariate time series model of the world involving one or more states or regimes, each of which is characterised by a Gaussian (i.e. multivariate normal) distribution, with a Markov chain process indicating how likely it is to move between each state over a given time period. The output is 2 dimensional, with the first dimension characterising the simulation and the time period and the second dimension providing a vector of the variables themselves.

 

Models where each state itself consists of a predefined (distributional) mixture of multivariate normal distributions can be accommodated in such a model by defining the Markov chain appropriately.

 

The function includes parameters that:

 

(a)    define the starting state or how it may itself be simulated

(b)   include a random number seed so that the results can be reproduced subsequently

(c)    include sampling algorithms that help to reduce run times by sampling in a uniform manner across the quantile range that the individual random variables can take

 


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-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Markov processes functions

-          Computation units used


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