/

SimulateGaussianMixture

[this page | pdf]

Interactively run this function

Answer  

Simulated variables
114.7256641447982-3.18155454099563-0.7507039733576112.8474713184122.00438112780823
12-4.6936641447982-1.23893603849066-2.290152070871690.842845570930669-5.52081765482705
130.0160.0132.15627334713375-1.741224662138571.83895353638972
144.72566414479821.264936038490660.1788787237379420.928379091207897-5.47581868448508
154.72566414479825.711426617976963.249734767967250.5532573938255262.42426678614028
210.0160.0130.015-1.63759759598015-4.45374517253388
224.72566414479825.711426617976961.108461420833490.6568844599839450.743409478677888
234.7256641447982-3.181554540995631.390569373776142.743844252253583.68523843527062
24-4.6936641447982-5.68542661797696-3.21973476796725-2.18085498980567-2.24417055721296
25-4.6936641447982-5.68542661797696-1.07846142083349-2.284482055964094.04852815171064
31-4.69366414479823.207554540995630.780703973357611-1.179873722431852.51536404472565
320.016-4.433490579486291.2266906500382-1.469730030914614.84340817614916
33-4.69366414479823.20755454099563-3.50184272090989-0.972619590115011-5.45819197166035
340.0164.459490579486293.08585604422931.282475898597787.78598924169804
350.0160.013-2.126273347133751.76122466213857-6.40679493785093

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