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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
110.0063.582604573969912.732672304024811.13409236921911-4.64136664133854
120.0063.582604573969912.73267230402481-0.120628734784641.15806147013552
13-4.54191041870792-3.96270457380375-4.58206797905822-0.0135787801751492.59579380315013
140.006-3.564604573969911.25279520096949-1.120092369219115.46481405389619
150.006-3.56460457396991-2.718672304024811.38934983878839-6.96148958160958
21-4.54191041870792-7.53630914777366-5.32200653058588-1.140671149394262.04658844204562
224.553910418707920.4070999998338381.8703956750334-1.099513589043967.64186854691028
234.553910418707927.554309147773667.32174028308303-1.354771058613244.35969577845945
24-4.54191041870792-0.389099999833839-3.84212942753056-0.141207514959789-7.86245985043693
25-4.54191041870792-0.389099999833839-1.8563956750334-0.141207514959789-1.84644043543623
314.553910418707923.980704573803752.610334226561060.0275787801751492.58877819929292
32-4.54191041870792-3.96270457380375-4.582067979058221.2411423238286-8.8059300170458
330.006-3.56460457396991-2.718672304024811.38934983878839-6.96148958160958
344.553910418707923.980704573803752.610334226561061.28229988417892.39164579654074
354.553910418707923.980704573803754.59606797905822-1.22714232382868.8019300170458

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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