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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.69366414479823.20755454099563-1.36056937377614-2.723844252253580.970602966190579
124.7256641447982-3.181554540995631.39056937377614-0.5513509397067173.95743089312528
13-4.6936641447982-1.23893603849066-4.431425418005450.946472637089088-2.58983356082824
140.016-4.43349057948629-3.055856044229310.385121697382371-3.26624406916416
15-4.6936641447982-5.68542661797696-1.07846142083349-0.636884459983945-5.31125088013909
214.72566414479821.264936038490664.461425418005450.7211249588910597.10957873336211
220.0164.45949057948629-1.19669065003821.48973003091461-0.187566774687953
234.72566414479825.711426617976965.3910081151010.449630327667107-0.506717307858526
24-4.6936641447982-1.23893603849066-0.148878723737941-2.555976687188045.65591491341241
254.72566414479825.711426617976961.10846142083349-0.9907131359962015.49134710906642
310.013-2.05173412240406-1.306963302959431.24353253726226-3.72286746942721
32-1.99308805808792-1.76282200482189-1.32425399883066-0.0537409435440993-6.43047888600465
330.013-2.05173412240406-0.50016961174254-1.244947838364343.36317360901968
342.019088058087923.844556127225952.676217301790091.15964141705793-1.20112591897214
350.0130.010.0151.172716505388050.183989005036112

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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