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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
11-4.6936641447982-5.68542661797696-3.21973476796725-2.18085498980567-6.85601195867416
120.016-4.433490579486291.2266906500382-1.46973003091461-4.38027462677325
130.016-4.433490579486291.2266906500382-1.469730030914610.231566774687953
140.016-4.43349057948629-3.05585604422931-1.26247589859778-7.74198924169804
154.72566414479825.711426617976961.10846142083349-0.9907131359962010.879505707605215
214.72566414479825.711426617976965.3910081151012.097227923647258.58086926613655
22-4.69366414479823.20755454099563-1.360569373776140.5713509397067170.698410508335926
23-4.6936641447982-1.23893603849066-2.290152070871690.842845570930669-5.52081765482705
24-4.6936641447982-1.23893603849066-0.148878723737941-0.9083790912078975.51981868448508
250.016-4.433490579486291.22669065003821.82546516104568-4.6524670846279
310.0160.013-2.126273347133750.113627066158419-1.65885730746239
324.72566414479821.264936038490660.1788787237379420.9283790912078973.74786411843732
334.72566414479825.711426617976961.108461420833490.6568844599839455.35525088013909
344.72566414479825.711426617976963.249734767967252.200854989805672.28817055721296
35-4.6936641447982-1.23893603849066-2.29015207087169-0.8047520250494783.83896137702269

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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