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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.54191041870792-0.389099999833839-1.8563956750334-0.1412075149597893.75585527328565
12-4.54191041870792-3.96270457380375-4.58206797905822-1.26829988417892.79292620590231
130.0063.582604573969912.73267230402481-0.120628734784641.15806147013552
14-4.54191041870792-7.53630914777366-3.33627277808872-1.14067114939426-8.74427926911931
150.0060.009-1.97873375249715-1.247721104003755.38370440519523
210.016-4.43349057948629-3.055856044229312.03271929336252-8.01418169955269
224.72566414479825.711426617976961.108461420833492.30448205596409-4.00452815171064
23-4.6936641447982-5.68542661797696-3.219734767967251.11434020215462-7.12820441652881
244.72566414479821.264936038490660.1788787237379422.575976687188043.61176788951
25-4.69366414479823.207554540995630.780703973357611-1.179873722431852.51536404472565
314.72566414479821.264936038490662.32015207087169-0.8228455709306690.952976253365842
320.016-4.433490579486291.22669065003820.1778675650655330.0954705457606266
334.72566414479821.264936038490660.178878723737942-0.719218504772253.88396034736465
340.0164.459490579486290.944582697095553-0.2614946312239521.62938676170177
354.7256641447982-3.181554540995631.390569373776142.74384425225358-5.53844436765178

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

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