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SimulateGaussianMixture

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Answer  

Simulated variables
1113.4296757349746-0.4835968999994388.047776613301574.524419682744595.65336776607283
12-13.50567573497460.447596899999438-8.091776613301571.23737626121295-5.69952730891174
13-4.6936641447982-1.23893603849066-4.43142541800545-0.701124958891059-2.45373733190091
144.72566414479821.264936038490662.32015207087169-0.8228455709306690.952976253365842
154.72566414479825.711426617976965.3910081151010.449630327667107-0.506717307858526
21-1.993088058087920.298912117582174-1.61587807830501-0.991178751105335-5.84519930913945
220.013-2.05173412240406-0.50016961174254-1.244947838364343.36317360901968
230.013-2.051734122404060.306624079474345-1.39599520321486-4.83940768176284
24-1.993088058087920.298912117582174-2.422671769521890.3285851191332272.53337098667918
250.013-2.05173412240406-1.306963302959431.243532537262260.187282625398196
310.0160.013-2.126273347133750.1136270661584192.95298409399881
324.72566414479821.264936038490664.461425418005450.7211249588910592.49773733190091
334.72566414479825.711426617976963.249734767967252.200854989805676.90001195867416
340.016-4.433490579486291.22669065003821.82546516104568-4.6524670846279
35-4.6936641447982-1.23893603849066-2.29015207087169-2.452349621029623.97505760595002

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

-          Illustrative spreadsheet

-          Other Markov processes functions

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