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SimulateGaussianMixture

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Answer  

Simulated variables
110.016-4.43349057948629-0.9145826970955530.281494631223952-1.58538676170177
120.0160.0130.0151.65759759598015-0.114096228927327
13-4.69366414479823.20755454099563-1.36056937377614-2.72384425225358-3.64123843527062
140.016-4.433490579486291.22669065003820.1778675650655330.0954705457606266
154.72566414479825.711426617976961.108461420833492.30448205596409-4.00452815171064
214.553910418707927.554309147773667.321740283083031.15467114939426-1.63686473576679
224.553910418707927.554309147773667.32174028308303-1.354771058613249.96199148718133
234.553910418707920.4070999998338381.87039567503341.409928618963547.24760374140592
24-4.54191041870792-0.389099999833839-5.827863180027711.11351358904396-8.47331595946794
25-4.54191041870792-3.96270457380375-4.58206797905822-1.2682998841789-2.80936950281956
31-4.54191041870792-3.96270457380375-6.56780173155537-1.26829988417892.37920249962348
32-4.54191041870792-7.53630914777366-7.307740283083030.114049954609491-9.76885908442914
330.0060.0091.992733752497150.006999999999999940.411723706278827
344.553910418707923.980704573803754.59606797905822-1.22714232382868.8019300170458
350.006-3.564604573969911.252795200969490.134628734784645.26768165114401

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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-          Illustrative spreadsheet

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