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SimulateGaussianMixture

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Answer  

Simulated variables
114.553910418707927.554309147773667.32174028308303-0.100049954609491-1.43973233301461
124.553910418707927.554309147773667.32174028308303-0.1000499546094914.16256337570727
13-4.54191041870792-0.389099999833839-5.82786318002771-0.1412075149597892.928407860728
14-4.54191041870792-3.96270457380375-6.56780173155537-1.2682998841789-3.22309320909839
15-4.54191041870792-0.389099999833839-5.82786318002771-0.141207514959789-8.27618355671575
210.016-4.43349057948629-0.914582697095553-1.366102964756193.16255086868676
22-4.6936641447982-5.68542661797696-3.21973476796725-2.180854989805672.36767084424825
234.72566414479821.264936038490664.46142541800545-0.9264726370890882.63383356082824
244.7256641447982-3.181554540995631.390569373776141.09624665627343-5.40234813872446
250.016-4.433490579486291.2266906500382-1.469730030914614.84340817614916
31-1.99308805808792-1.76282200482189-2.937841381264431.41707029154498-1.57977758387974
320.0130.01-0.7917936912168851.32376387023856-3.3438799886576
330.013-2.05173412240406-0.500169611742541.09248517241175-4.10514857055891
340.0132.071734122404061.336963302959431.101900473513834.09084547949944
352.019088058087921.782822004821892.161047690047551.079410084081632.33003669508366

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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