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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
11-4.54191041870792-7.53630914777366-7.307740283083031.36877105861324-9.96599148718132
12-4.54191041870792-7.53630914777366-5.32200653058588-1.14067114939426-3.55570726667626
134.553910418707923.980704573803752.610334226561061.2822998841789-3.21064991218114
144.553910418707923.980704573803756.581801731555370.02757878017514899.01852132057245
154.553910418707923.980704573803754.596067979058220.0275787801751493.00250190557175
210.0164.459490579486290.944582697095553-1.90909222720416.3773243920903
220.0164.459490579486293.08585604422931.282475898597787.78598924169804
230.0164.459490579486293.0858560442293-2.012719293362528.05818169955269
240.016-4.43349057948629-0.9145826970955531.9290922272041-6.3333243920903
250.016-4.433490579486291.2266906500382-1.46973003091461-4.38027462677325
314.553910418707923.980704573803756.581801731555370.02757878017514893.41622561185057
324.553910418707923.980704573803752.610334226561060.027578780175149-3.01351750942895
33-4.54191041870792-7.53630914777366-5.322006530585880.114049954609491-3.75283966942844
34-4.54191041870792-0.389099999833839-5.82786318002771-1.39592861896354-2.4767554452417
35-4.54191041870792-0.389099999833839-5.827863180027711.113513589043962.73127545797581

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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