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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.69366414479823.20755454099563-3.501842720909890.674978005865136-5.59428820058767
12-4.6936641447982-1.23893603849066-2.29015207087169-0.804752025049478-5.38472142589972
130.0160.0130.0150.014.6338414014612
144.7256641447982-3.181554540995633.53184272090989-0.6549780058651361.02644679912647
15-4.69366414479823.20755454099563-1.36056937377614-1.076246656273435.44634813872446
214.7256641447982-3.181554540995633.531842720909890.9926195901150115.50219197166035
224.7256641447982-3.181554540995633.53184272090989-0.6549780058651365.63828820058767
23-4.6936641447982-5.68542661797696-1.07846142083349-2.28448205596409-0.563313249750562
24-4.69366414479823.20755454099563-1.360569373776140.571350939706717-3.91343089312528
254.72566414479821.264936038490664.461425418005452.36872255487121-2.25020029848762
310.0060.0090.007-1.247721104003750.195132402752182
320.0063.58260457396991-1.238795200969491.134092369219110.133481654825686
334.553910418707927.554309147773663.350272778088721.15467114939426-2.46431214832444
340.0060.009-1.978733752497150.007000000000000065.18657200244305
350.006-3.56460457396991-2.71867230402481-1.12009236921911-0.96492906738334

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

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