/

SimulateGaussianMixture

[this page | pdf]

Interactively run this function

Answer  

Simulated variables
11-4.6936641447982-1.23893603849066-2.290152070871690.8428455709306693.70286514809536
12-4.6936641447982-1.23893603849066-4.43142541800545-2.348722554871212.29420029848762
13-4.6936641447982-5.68542661797696-1.07846142083349-0.6368844599839453.91243192278332
144.7256641447982-3.181554540995633.531842720909892.640217186095165.36609574273302
154.72566414479821.264936038490660.1788787237379422.575976687188043.61176788951
210.006-3.564604573969911.252795200969490.13462873478464-5.93690976629974
220.006-3.56460457396991-0.7329385515276591.38934983878839-6.54776587533075
234.553910418707923.980704573803752.61033422656106-1.2271423238286-2.81638510667677
24-4.54191041870792-0.389099999833839-5.82786318002771-1.39592861896354-8.07905115396357
25-4.54191041870792-7.53630914777366-5.322006530585880.114049954609491-3.75283966942844
314.72566414479825.711426617976961.10846142083349-0.9907131359962010.879505707605215
324.72566414479825.711426617976965.3910081151010.4496303276671074.10512409360268
33-0.0386.236334715909552.736249950372692.867509046316653.80234769794414
34-0.038-0.018-0.0220.01-0.009
35-0.0386.236334715909555.857541534642-2.24484828479535-0.573297771404178

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

 


NAVIGATION LINKS
Contents | Prev | Next


Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Markov processes functions

-          Computation units used


Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement


Desktop view | Switch to Mobile