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SimulateGaussianMixture

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Answer  

Simulated variables
110.0130.010.0150.0043.91815009482541
122.019088058087921.782822004821892.96784138126443-1.409070291544981.59577758387974
130.013-2.05173412240406-0.50016961174254-0.0762313329762973-0.370987480769615
140.0132.07173412240406-0.2766240794743451.40399520321486-2.96489250788798
15-1.99308805808792-3.82455612722595-2.64621730179009-1.15164141705793-6.60317427067868
21-1.993088058087920.298912117582174-0.809084387088121.19520689482025-5.87550240019893
220.0132.07173412240406-0.2766240794743450.235278697826812-3.1408815129241
23-1.99308805808792-1.76282200482189-1.324253998830661.11497556184395-6.25448988096854
242.01908805808792-0.2789121175821741.64587807830501-1.338254259670765.50922129906723
252.019088058087923.844556127225951.86942361057320.1419722765203976.82546636677427
314.7256641447982-3.18155454099563-0.750703973357611-0.447723873548298-2.33526781579832
32-4.6936641447982-5.68542661797696-3.219734767967251.114340202154622.09547838639359
334.72566414479825.711426617976961.10846142083349-0.9907131359962015.49134710906642
34-13.5056757349746-5.80673781591011-4.60744339513563-0.3612555594126380.468029221736804
350.0160.0132.156273347133751.553970529821731.56676107853507

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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