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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.6936641447982-1.23893603849066-2.29015207087169-0.8047520250494783.83896137702269
120.0160.0132.15627334713375-1.741224662138576.45079493785093
130.016-4.43349057948629-3.055856044229312.032719293362521.20950110336971
14-4.6936641447982-1.23893603849066-2.290152070871690.842845570930669-5.52081765482705
154.7256641447982-3.181554540995631.390569373776142.74384425225358-5.53844436765178
214.7256641447982-3.181554540995633.531842720909892.64021718609516-3.85758706018939
224.7256641447982-3.181554540995631.390569373776142.74384425225358-0.926602966190579
234.72566414479821.264936038490664.461425418005450.7211249588910592.49773733190091
244.7256641447982-3.18155454099563-0.750703973357611-0.4477238735482982.27657358566288
250.0160.013-2.12627334713375-1.53397052982173-1.52276107853507
310.0164.45949057948629-1.1966906500382-1.805465161045680.0846256831667
32-4.69366414479823.20755454099563-3.50184272090989-0.972619590115011-5.45819197166035
33-4.69366414479823.20755454099563-1.36056937377614-2.72384425225358-3.64123843527062
340.0164.459490579486293.0858560442293-0.3651216973823713.31024406916416
35-4.69366414479823.207554540995630.780703973357611-1.179873722431857.12720544618685

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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