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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.6936641447982-5.68542661797696-5.3610081151011.21796726831304-4.19722032253
120.0160.0130.0151.657597595980154.49774517253388
13-4.6936641447982-1.23893603849066-0.148878723737941-0.9083790912078970.907977283023879
14-4.6936641447982-1.23893603849066-0.148878723737941-2.555976687188041.04407351195121
15-4.6936641447982-1.23893603849066-2.29015207087169-2.45234962102962-5.24862519697239
212.019088058087921.782822004821892.96784138126443-1.409070291544985.50592767870514
22-1.993088058087920.298912117582174-0.80908438708812-1.14222611595585-6.22748041027115
232.01908805808792-0.2789121175821741.64587807830501-1.338254259670765.50922129906723
242.019088058087923.844556127225952.67621730179009-0.00907508833011775-1.37711492400825
250.013-2.05173412240406-1.306963302959431.243532537262260.187282625398196
310.0063.582604573969910.746938551527659-0.12062873478464-4.85795794486518
324.553910418707920.4070999998338381.87039567503340.1552075149597891.84244043543623
330.0063.58260457396991-1.238795200969491.13409236921911-5.46881405389619
340.006-3.56460457396991-2.718672304024811.389349838788394.24310183583417
354.553910418707927.554309147773667.32174028308303-0.1000499546094919.76485908442914

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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-          Output type / Parameter details

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