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SimulateGaussianMixture

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Answer  

Simulated variables
110.0160.0132.15627334713375-1.741224662138576.45079493785093
12-4.69366414479823.20755454099563-1.360569373776140.5713509397067170.698410508335926
13-4.69366414479823.207554540995630.780703973357611-1.17987372243185-2.09647735673556
140.0160.0132.15627334713375-1.741224662138571.83895353638972
15-4.69366414479823.20755454099563-3.50184272090989-0.972619590115011-0.846350570199142
21-4.54191041870792-7.53630914777366-5.322006530585881.36877105861324-3.94997207218062
220.006-3.56460457396991-2.718672304024810.13462873478464-6.7643571788574
234.553910418707920.4070999998338381.87039567503341.409928618963541.64530803268404
24-4.54191041870792-0.389099999833839-5.827863180027711.11351358904396-8.47331595946794
254.553910418707920.4070999998338385.841863180027711.409928618963548.07505115396357
314.72566414479825.711426617976961.108461420833490.656884459983945-3.86843192278332
324.72566414479821.264936038490664.46142541800545-0.9264726370890887.24567496228944
330.0160.0130.015-1.637597595980154.76993763038853
344.7256641447982-3.181554540995631.390569373776141.096246656273433.82133466419795
350.0160.0130.015-1.63759759598015-4.45374517253388

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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