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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.6936641447982-1.23893603849066-2.290152070871690.842845570930669-5.52081765482705
120.0164.45949057948629-1.1966906500382-1.805465161045680.0846256831667
13-4.6936641447982-1.23893603849066-2.290152070871690.842845570930669-5.52081765482705
144.7256641447982-3.181554540995631.39056937377614-0.5513509397067173.95743089312528
15-4.6936641447982-1.23893603849066-0.1488787237379410.739218504772250.771881054096553
210.016-4.433490579486291.2266906500382-1.469730030914614.84340817614916
224.72566414479821.264936038490662.320152070871692.47234962102962-3.93105760595002
230.0164.45949057948629-1.1966906500382-0.1578675650655334.56037085570058
24-4.69366414479823.20755454099563-3.501842720909890.674978005865136-0.982446799126468
254.72566414479825.711426617976961.108461420833490.6568844599839455.35525088013909
314.72566414479825.711426617976961.108461420833490.6568844599839450.743409478677888
32-4.6936641447982-5.68542661797696-1.07846142083349-0.6368844599839453.91243192278332
334.7256641447982-3.181554540995633.53184272090989-0.6549780058651361.02644679912647
340.0160.0132.15627334713375-0.0936270661584192-2.90898409399881
350.016-4.43349057948629-0.914582697095553-1.36610296475619-6.06113193423564

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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