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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.54191041870792-0.389099999833839-3.84212942753056-0.1412075149597893.34213156700682
120.0060.0090.0071.261721104003755.40316330596969
130.013-2.051734122404060.3066240794743450.941437807561236-0.577279576865202
142.01908805808792-0.2789121175821742.45267176952189-1.489301624521275.12694019793553
15-1.99308805808792-1.76282200482189-2.131047690047550.097306421306415-6.04819778487296
2113.42967573497465.770737815910124.56344339513563-2.48964241256613-2.35060087561406
224.72566414479825.711426617976965.3910081151010.449630327667107-0.506717307858526
23-4.6936641447982-1.23893603849066-2.29015207087169-2.452349621029623.97505760595002
24-4.6936641447982-1.23893603849066-4.431425418005450.946472637089088-2.58983356082824
250.0164.45949057948629-1.1966906500382-1.805465161045680.0846256831667
310.016-4.433490579486291.22669065003821.82546516104568-4.6524670846279
32-4.6936641447982-5.68542661797696-5.361008115101-2.07722792364725-3.92502786467535
334.72566414479825.711426617976961.108461420833490.656884459983945-3.86843192278332
340.0164.459490579486290.944582697095553-0.261494631223952-2.98245463975944
354.7256641447982-3.181554540995633.531842720909892.640217186095165.36609574273302

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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