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SimulateGaussianMixture

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Answer  

Simulated variables
110.016-4.43349057948629-0.9145826970955531.92909222720412.89035841083211
120.0160.013-2.12627334713375-1.53397052982173-1.52276107853507
134.72566414479825.711426617976963.249734767967252.20085498980567-2.32367084424825
140.0164.45949057948629-1.1966906500382-0.157867565065533-4.66331194722183
154.72566414479821.264936038490664.461425418005452.368722554871212.36164110297358
214.553910418707927.554309147773667.32174028308303-0.1000499546094914.16256337570727
224.553910418707927.554309147773665.336006530585881.15467114939426-2.05058844204562
230.013-2.05173412240406-1.306963302959430.0748160318742170.0112936203620844
24-1.99308805808792-1.76282200482189-2.13104769004755-1.071410084081631.59611339974175
250.013-2.05173412240406-0.50016961174254-1.24494783836434-4.45712658063114
31-4.6936641447982-1.23893603849066-4.43142541800545-2.34872255487121-6.92948250443479
32-4.6936641447982-5.68542661797696-1.07846142083349-0.6368844599839453.91243192278332
33-4.6936641447982-1.23893603849066-0.148878723737941-2.555976687188045.65591491341241
344.7256641447982-3.181554540995633.531842720909892.640217186095160.754254341271815
35-4.69366414479823.20755454099563-3.50184272090989-0.9726195901150113.76549083126206

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

-          Illustrative spreadsheet

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