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SimulateGaussianMixture

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Interactively run this function

Answer  

Simulated variables
114.553910418707927.554309147773665.33600653058588-0.1000499546094919.35113537815032
12-4.54191041870792-0.389099999833839-1.8563956750334-1.39592861896354-1.64930803268404
13-4.54191041870792-7.53630914777366-7.307740283083030.114049954609491-4.16656337570727
140.0063.582604573969912.73267230402481-0.120628734784646.7603571788574
15-4.54191041870792-7.53630914777366-7.30774028308303-1.14067114939426-3.96943097295509
210.0060.0091.992733752497151.26172110400375-5.38770440519523
224.553910418707923.980704573803754.596067979058221.2822998841789-2.79692620590231
234.553910418707923.980704573803756.58180173155537-1.22714232382869.21565372332463
24-4.54191041870792-7.53630914777366-5.32200653058588-1.14067114939426-3.55570726667626
254.553910418707923.980704573803756.581801731555370.0275787801751489-2.1860700968713
31-13.5056757349746-12.0610725318197-13.6082765140469-4.47764183142036-9.56491985420659
32-0.038-6.27233471590955-5.901541534642-0.606049687183419-1.30927388247308
33-0.0386.236334715909552.736249950372692.867509046316650.0450448473507126
3413.42967573497465.770737815910124.563443395135633.25215353139141-2.37876041845297
35-0.0386.236334715909552.736249950372692.867509046316657.55965054853757

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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Links to:

-          Interactively run function

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-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Markov processes functions

-          Computation units used


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