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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.54191041870792-7.53630914777366-3.33627277808872-1.14067114939426-3.14198356039743
12-4.54191041870792-7.53630914777366-5.32200653058588-1.140671149394262.04658844204562
134.553910418707927.554309147773667.32174028308303-1.354771058613249.96199148718133
144.553910418707923.980704573803756.58180173155537-1.2271423238286-1.98893769411912
150.0063.58260457396991-1.23879520096949-1.37534983878839-5.07454924839183
210.0063.582604573969910.7469385515276591.134092369219116.14950106982639
224.553910418707923.980704573803756.581801731555370.02757878017514893.41622561185057
23-4.54191041870792-7.53630914777366-7.307740283083031.36877105861324-4.36369577845945
240.006-3.56460457396991-0.7329385515276590.134628734784644.85395794486518
25-4.54191041870792-7.53630914777366-5.322006530585880.1140499546094911.84945603929343
314.72566414479821.264936038490660.1788787237379420.928379091207897-5.47581868448508
320.0164.45949057948629-1.19669065003821.48973003091461-4.79940817614916
330.0160.0130.0150.01-4.5898414014612
34-4.69366414479823.20755454099563-3.501842720909890.674978005865136-0.982446799126468
354.72566414479821.264936038490664.461425418005452.368722554871212.36164110297358

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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