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SimulateGaussianMixture

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Answer  

Simulated variables
11-13.50567573497460.447596899999438-4.97048502903226-1.00408309792029-4.45329827378937
12-13.5056757349746-12.0610725318197-13.6082765140469-1.60674385944159-7.70034820032933
1313.4296757349746-0.4835968999994384.926485029032261.024083097920294.43529827378937
1413.42967573497465.770737815910127.684734979404941.010694172258172.62477146726283
15-4.6936641447982-1.23893603849066-2.29015207087169-2.452349621029623.97505760595002
214.72566414479821.264936038490660.1788787237379422.575976687188043.61176788951
220.0164.459490579486290.9445826970955531.386102964756196.10513193423565
23-4.69366414479823.20755454099563-3.501842720909890.674978005865136-0.982446799126468
24-4.69366414479823.207554540995630.7807039733576110.467723873548298-2.23257358566288
250.016-4.43349057948629-3.055856044229312.03271929336252-8.01418169955269
310.006-3.564604573969911.25279520096949-1.12009236921911-0.137481654825686
324.553910418707923.980704573803756.58180173155537-1.2271423238286-1.98893769411912
330.0060.0091.99273375249715-1.24772110400375-4.99343959969087
340.006-3.56460457396991-2.71867230402481-1.120092369219114.63736664133854
354.553910418707927.554309147773667.32174028308303-0.1000499546094914.16256337570727

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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