SimulateGaussianMixture

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Answer  

Simulated variables
112.019088058087921.782822004821892.16104769004755-0.0893064213064152.15404769004755
122.01908805808792-0.2789121175821741.64587807830501-0.1695377542827125.68521030410334
130.0132.071734122404061.33696330295943-0.066816031874217-3.90544371518749
14-1.99308805808792-1.76282200482189-1.324253998830661.11497556184395-2.34433978614313
150.0132.071734122404060.530169611742541.252947838364344.47312658063114
21-4.6936641447982-5.68542661797696-1.07846142083349-2.284482055964094.04852815171064
22-4.6936641447982-1.23893603849066-0.148878723737941-2.55597668718804-3.56776788951
23-4.6936641447982-5.68542661797696-5.361008115101-2.077227923647250.686813536785853
244.7256641447982-3.181554540995631.39056937377614-0.551350939706717-5.26625190979713
25-4.6936641447982-5.68542661797696-1.07846142083349-0.636884459983945-5.31125088013909
310.0132.07173412240406-0.2766240794743451.40399520321486-2.96489250788798
320.0132.07173412240406-0.2766240794743451.403995203214860.945257586937425
332.019088058087921.782822004821892.161047690047551.079410084081632.33003669508366
340.0132.07173412240406-0.2766240794743450.2352786978268124.67941867672672
352.019088058087921.782822004821891.35425399883066-1.106975561843952.36033978614313

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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