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SimulateGaussianMixture

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Answer  

Simulated variables
114.72566414479821.264936038490660.1788787237379422.57597668718804-1.00007351195121
124.72566414479825.711426617976963.249734767967252.200854989805672.28817055721296
130.0160.013-2.12627334713375-1.53397052982173-6.13460247999627
140.0160.0130.0150.010.022
154.72566414479821.264936038490662.320152070871692.47234962102962-3.93105760595002
21-4.54191041870792-7.53630914777366-5.322006530585880.1140499546094911.84945603929343
22-4.54191041870792-7.53630914777366-7.30774028308303-1.140671149394261.63286473576679
23-4.54191041870792-0.389099999833839-3.84212942753056-0.141207514959789-2.26016414171505
244.553910418707927.554309147773663.350272778088721.154671149394268.74027926911931
250.0063.58260457396991-1.23879520096949-1.375349838788396.13004216905192
310.0063.582604573969912.73267230402481-1.37534983878839-4.24710183583417
320.0060.0091.992733752497150.00699999999999994-5.19057200244305
334.553910418707920.4070999998338385.841863180027711.409928618963548.07505115396357
34-4.54191041870792-7.53630914777366-3.33627277808872-1.14067114939426-8.74427926911931
35-4.54191041870792-7.53630914777366-3.336272778088720.114049954609491-3.33911596314961

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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