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SimulateGaussianMixture

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Answer  

Simulated variables
112.01908805808792-0.2789121175821741.64587807830501-0.1695377542827125.68521030410334
122.019088058087921.782822004821892.16104769004755-0.089306421306415-1.75610240477786
130.0132.07173412240406-0.2766240794743450.235278697826812-3.1408815129241
144.553910418707927.554309147773665.33600653058588-0.100049954609491-1.85345603929343
154.553910418707927.554309147773667.32174028308303-1.354771058613244.35969577845945
210.0164.45949057948629-1.19669065003821.48973003091461-0.187566774687953
22-4.6936641447982-5.68542661797696-1.07846142083349-2.284482055964094.04852815171064
23-4.6936641447982-5.68542661797696-1.078461420833491.01071313599623.77633569385599
240.016-4.43349057948629-3.055856044229312.03271929336252-3.40234029809149
25-4.6936641447982-5.68542661797696-3.219734767967251.11434020215462-7.12820441652881
31-4.54191041870792-3.96270457380375-2.59633422656106-1.2682998841789-7.99794150526261
320.0063.58260457396991-1.238795200969491.134092369219110.133481654825686
334.553910418707923.980704573803754.59606797905822-1.22714232382863.19963430832393
34-4.54191041870792-3.96270457380375-2.59633422656106-1.26829988417893.20664991218114
350.0060.009-1.978733752497150.007000000000000065.18657200244305

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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