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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.6936641447982-5.68542661797696-5.361008115101-2.077227923647250.686813536785853
124.72566414479825.711426617976961.10846142083349-0.9907131359962015.49134710906642
130.016-4.433490579486291.2266906500382-1.469730030914610.231566774687953
14-13.50567573497460.447596899999438-1.84919344476294-0.374644485074752-1.34249758478974
154.7256641447982-3.18155454099563-0.7507039733576111.199873722431852.14047735673556
214.553910418707923.980704573803756.581801731555370.0275787801751489-2.1860700968713
220.0060.0091.992733752497150.00699999999999994-5.19057200244305
234.553910418707927.554309147773665.336006530585881.15467114939426-2.05058844204562
240.0060.009-1.97873375249715-1.247721104003755.38370440519523
25-4.54191041870792-3.96270457380375-2.596334226561061.2411423238286-2.7899106020451
31-0.0386.236334715909552.736249950372692.867509046316653.80234769794414
32-13.5056757349746-12.0610725318197-10.48698492977761.89359272538271-2.72497585745244
33-13.5056757349746-5.80673781591011-10.8500265636743-1.6201327851037-1.99626930566903
3413.4296757349746-0.4835968999994384.926485029032263.894981069899052.54256707707321
35-0.0386.236334715909552.73624995037269-2.87428689764088-3.68409846040381

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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