/

SimulateGaussianMixture

[this page | pdf]

Interactively run this function

Answer  

Simulated variables
11-4.69366414479823.20755454099563-3.50184272090989-2.620217186095163.90158706018939
12-4.6936641447982-5.68542661797696-3.21973476796725-0.533257393825526-2.38026678614028
130.016-4.43349057948629-3.055856044229312.03271929336252-8.01418169955269
140.0160.0132.15627334713375-0.0936270661584192-2.90898409399881
154.72566414479821.264936038490662.320152070871690.8247520250494780.816880024438515
210.016-4.433490579486291.22669065003821.82546516104568-4.6524670846279
224.72566414479821.264936038490660.1788787237379422.57597668718804-5.61191491341241
23-4.6936641447982-1.23893603849066-2.29015207087169-0.804752025049478-0.772880024438515
244.72566414479825.711426617976963.24973476796725-1.094340202154622.56036301506761
25-4.69366414479823.20755454099563-3.501842720909890.674978005865136-5.59428820058767
314.553910418707923.980704573803754.596067979058220.0275787801751493.00250190557175
320.0063.582604573969912.73267230402481-1.375349838788396.95748958160958
334.553910418707927.554309147773667.32174028308303-1.354771058613249.96199148718133
34-4.54191041870792-7.53630914777366-7.307740283083031.368771058613241.23859993026243
350.006-3.564604573969911.25279520096949-1.120092369219115.46481405389619

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

 


NAVIGATION LINKS
Contents | Prev | Next


Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Markov processes functions

-          Computation units used


Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement


Desktop view | Switch to Mobile