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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.6936641447982-1.23893603849066-0.148878723737941-2.55597668718804-3.56776788951
12-13.50567573497460.447596899999438-1.849193444762942.496253486904028.03667977027437
13-0.038-0.0183.099291584269313.51033658482434.96637234287689
14-13.5056757349746-5.80673781591011-10.8500265636743-1.6201327851037-5.75357215626245
15-0.0386.236334715909555.8575415346423.4969476591621910.6704512375372
210.013-2.05173412240406-1.306963302959431.243532537262260.187282625398196
222.01908805808792-0.2789121175821740.839084387088121-0.018490389432198-1.75280878441578
23-1.99308805808792-3.82455612722595-2.64621730179009-1.15164141705793-6.60317427067868
242.019088058087923.844556127225952.67621730179009-1.177791593718176.26719626060646
252.01908805808792-0.2789121175821740.839084387088121-1.187206894820251.98135230537352
314.553910418707927.554309147773665.33600653058588-0.1000499546094919.35113537815032
320.0060.0090.007-1.247721104003750.195132402752182
334.553910418707927.554309147773663.35027277808872-0.1000499546094918.93741167187149
340.006-3.564604573969911.252795200969491.38934983878839-6.13404216905192
35-4.54191041870792-3.96270457380375-4.58206797905822-0.013578780175149-8.60879761429362

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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