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SimulateGaussianMixture

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Answer  

Simulated variables
11-4.54191041870792-3.96270457380375-4.582067979058221.2411423238286-8.8059300170458
124.553910418707923.980704573803756.58180173155537-1.2271423238286-1.98893769411912
130.0060.0090.0071.26172110400375-0.199132402752182
144.553910418707920.4070999998338381.87039567503341.40992861896354-3.95698767603783
150.0060.0091.992733752497150.006999999999999946.0140194150007
214.553910418707927.554309147773667.32174028308303-0.1000499546094914.16256337570727
22-4.54191041870792-7.53630914777366-5.322006530585880.1140499546094911.84945603929343
234.553910418707920.4070999998338385.841863180027710.155207514959788-2.932407860728
24-4.54191041870792-3.96270457380375-2.59633422656106-1.26829988417893.20664991218114
254.553910418707927.554309147773665.33600653058588-1.35477105861324-1.65632363654125
31-0.038-6.27233471590955-5.901541534642-3.47694765916219-3.17384553635034
320.0132.07173412240406-0.2766240794743451.403995203214860.945257586937425
33-1.993088058087920.298912117582174-2.42267176952189-0.8401313862548212.35738198164307
340.0132.071734122404060.530169611742540.08423133297629730.386987480769615
35-1.99308805808792-3.82455612722595-3.453010993006971.33683895856868-1.95876506464935

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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-          Illustrative spreadsheet

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