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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
110.006-3.56460457396991-2.71867230402481-1.120092369219114.63736664133854
124.553910418707920.4070999998338385.841863180027710.1552075149597882.66988784799388
130.0060.0090.007-1.247721104003755.79742811147406
144.553910418707923.980704573803756.581801731555370.02757878017514893.41622561185057
150.0063.58260457396991-1.23879520096949-1.375349838788396.13004216905192
214.553910418707927.554309147773665.336006530585881.15467114939426-2.05058844204562
22-4.54191041870792-3.96270457380375-4.58206797905822-1.2682998841789-8.41166521154144
234.553910418707927.554309147773663.350272778088721.154671149394263.13798356039743
240.0063.58260457396991-1.238795200969491.134092369219115.73577736354756
254.553910418707923.980704573803754.596067979058221.2822998841789-2.79692620590231
31-4.6936641447982-1.23893603849066-0.148878723737941-0.9083790912078970.907977283023879
320.0164.45949057948629-1.19669065003821.489730030914614.42427462677325
33-4.6936641447982-5.68542661797696-1.07846142083349-0.636884459983945-5.31125088013909
34-4.6936641447982-5.68542661797696-3.21973476796725-2.18085498980567-6.85601195867416
35-4.6936641447982-5.68542661797696-1.07846142083349-0.636884459983945-0.699409478677889

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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