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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.69366414479823.20755454099563-1.360569373776140.5713509397067175.31025190979713
124.72566414479821.264936038490664.461425418005450.721124958891059-2.11410406956029
13-4.69366414479823.20755454099563-3.50184272090989-0.972619590115011-0.846350570199142
144.7256641447982-3.181554540995631.390569373776141.096246656273433.82133466419795
15-4.6936641447982-5.68542661797696-5.361008115101-0.429630327667107-4.06112409360268
210.0060.009-1.97873375249715-1.24772110400375-0.218591303526645
220.0063.582604573969910.7469385515276591.134092369219116.14950106982639
230.006-3.56460457396991-0.7329385515276591.389349838788394.656825542113
24-4.54191041870792-3.96270457380375-6.56780173155537-1.2682998841789-3.22309320909839
250.0063.582604573969912.732672304024811.13409236921911-4.64136664133854
312.01908805808792-0.2789121175821742.45267176952189-0.320585119133227-2.51737098667918
32-1.99308805808792-3.82455612722595-3.45301099300697-1.00059405220742-2.31074307472157
332.019088058087921.782822004821892.96784138126443-1.40907029154498-2.31437251094567
340.0132.071734122404061.336963302959431.10190047351383-3.72945471015138
352.019088058087921.782822004821892.16104769004755-1.258022926694465.88820877983684

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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