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SimulateGaussianMixture

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Answer  

Simulated variables
110.0060.0090.007-1.24772110400375-5.40716330596969
124.553910418707927.554309147773663.35027277808872-1.354771058613243.5322483659018
13-4.54191041870792-3.96270457380375-4.58206797905822-0.0135787801751492.59579380315013
14-4.54191041870792-7.53630914777366-7.307740283083030.114049954609491-9.76885908442914
15-4.54191041870792-0.389099999833839-1.8563956750334-0.1412075149597893.75585527328565
214.553910418707920.4070999998338385.841863180027711.409928618963548.07505115396357
220.0060.0091.992733752497150.006999999999999946.0140194150007
234.553910418707927.554309147773663.35027277808872-1.35477105861324-2.07004734282008
240.0060.0090.007-1.247721104003755.79742811147406
254.553910418707920.4070999998338381.8703956750334-1.099513589043962.03957283818841
31-4.54191041870792-0.389099999833839-5.82786318002771-0.141207514959789-2.67388784799388
32-4.54191041870792-7.53630914777366-5.322006530585881.36877105861324-9.5522677809025
330.006-3.564604573969911.252795200969491.38934983878839-0.531746460330049
344.553910418707927.554309147773667.321740283083031.154671149394263.96543097295509
350.0060.0090.0071.26172110400375-5.80142811147406

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

-          Other Markov processes functions

-          Computation units used


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