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SimulateGaussianMixture

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Answer  

Simulated variables
11-1.993088058087920.298912117582174-1.61587807830501-0.9911787511053351.97510088051137
120.013-2.051734122404060.306624079474345-1.395995203214862.98089250788798
13-1.993088058087920.298912117582174-0.809084387088120.0264903894321981.76880878441578
140.013-2.05173412240406-0.500169611742541.09248517241175-4.10514857055891
152.01908805808792-0.2789121175821741.64587807830501-0.1695377542827125.68521030410334
214.72566414479821.264936038490660.1788787237379422.57597668718804-5.61191491341241
22-4.69366414479823.20755454099563-3.50184272090989-0.972619590115011-0.846350570199142
230.016-4.43349057948629-0.9145826970955531.9290922272041-6.3333243920903
24-4.69366414479823.20755454099563-3.50184272090989-0.9726195901150113.76549083126206
250.0160.013-2.126273347133751.76122466213857-6.40679493785093
310.013-2.051734122404060.306624079474345-0.227278697826812-0.753268581901314
322.019088058087921.782822004821892.161047690047551.07941008408163-1.58011339974175
332.019088058087921.782822004821891.35425399883066-1.106975561843952.36033978614313
342.019088058087921.782822004821892.96784138126443-1.409070291544981.59577758387974
35-1.993088058087920.298912117582174-0.80908438708812-1.14222611595585-2.31733031544574

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

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