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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.54191041870792-7.53630914777366-5.322006530585880.114049954609491-3.75283966942844
12-4.54191041870792-0.389099999833839-5.827863180027711.11351358904396-8.47331595946794
134.553910418707920.4070999998338383.856129427530560.1552075149597892.25616414171505
14-4.54191041870792-7.53630914777366-3.336272778088720.114049954609491-8.94141167187149
154.553910418707927.554309147773663.350272778088721.154671149394268.74027926911931
210.0060.0091.99273375249715-1.24772110400375-4.99343959969087
224.553910418707920.4070999998338383.856129427530560.1552075149597892.25616414171505
230.0063.582604573969912.732672304024811.13409236921911-4.64136664133854
240.0060.0090.0071.26172110400375-0.199132402752182
250.0060.0090.0070.007-0.002
314.72566414479825.711426617976961.108461420833492.304482055964095.21915465121177
320.0160.0132.15627334713375-1.741224662138576.45079493785093
33-4.6936641447982-1.23893603849066-4.43142541800545-2.348722554871212.29420029848762
344.72566414479825.711426617976961.10846142083349-0.9907131359962015.49134710906642
35-4.6936641447982-5.68542661797696-1.07846142083349-2.28448205596409-5.17515465121177

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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