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#ADDIN?
James W. Richardson
2004
Demonstrate the simulation functions in Simetar. Press F9 key to generate different realizations of the random variables.
The probability distributions are in the same order as in the User's Manual.
3.1 Generate Random Numbers Using the Uniform Distribution
Minimum
10.0
Maximum
20.0
Unifrom Standard Deviate U(0,1)
Err:511
Random No.
Formula
Specific Formula using actual numbers
Uniform (10,20)
Err:511 Err:511
General Formula using cell references
Uniform
Err:511 Err:511
General Formula using cell references and USD
Uniform w/ USD
Err:511 Err:511

3.2.1 Generate Random Numbers Using the Normal Distribution

Mean
10.000
Std. Deviation
3.000
Uniform Standard Deivate (USD)
#ADDIN?
Random No.
Specific Formula using actual numbers
Normal
Err:511
General Formula using cell references
Normal
Err:511
General Formula specifying the USD
Normal
Err:511
General Formula using cell references and USD
Std Normal Dev
#ADDIN?

Formula
Err:511
Err:511
Err:511
Err:511

3.2.2 Generate Random Numbers Using the Truncated Normal Distribution

Truncated Normal with a Minimum and a Maximum
Mean
10.000
Std Deviation
3.000
Minimum
5.000
Maximum
12.500
Uniform Standard Deivate
#ADDIN?
Random No.
Formula
Specific Formula using actual numbers
Tnorm Min Max
Err:511 Err:511
General Formula using cell references
Tnorm Min Max
Err:511 Err:511
General Formula specifying the USD
Tnorm Min Max
Err:511 Err:511
Truncated Normal -- Truncate the Minimum only
Mean
10.000
Std Deviation
3.000
Minimum
5.000
General Formula using cell references
Tnorm Min

Random No.
Formula
Err:511 Err:511

Truncated Normal -- Truncate the Maximum only

Mean
10.000
Std Deviation
3.000
Maximum
12.500
General Formula using cell references
Tnorm Max

Random No.
Formula
Err:511 Err:511

3.2.3 Generate Random Numbers Using the Two-Piece Normal Distribution

Mu
10
Std Dev Lower
2
Std Dev Upper
3
Uniform Standard Deviate
#ADDIN?
Random Value Formula
Two Piece Normal distribution
2 Piece Normal
Err:511 Err:511

3.2.4 Generate Random Numbers Using the Modified Two-Piece Normal Distribution
Min
2
Middle
8
Max
10
Uniform Standard Deviate
#ADDIN?
Lower SD
2
Upper SD
2
Random Value Formula
2 Piece Normal distribution
2 Piece Normal
Err:511 Err:511

3.2.5 Generate Random Numbers Using the Student's t (Excel) Distribution

Uniform Standard Deviate
#ADDIN?
df Degrees of Freedom
30.000
Random Nos. Formulas
Student's t-distribution with cell references
Student's t
#ADDIN? Err:511

3.2.6 Generate Random Numbers Using the F (Excel) Distribution

Uniform Standard Deviate
#ADDIN?
Degrees of Freedom 1
2.000
Degrees of Freedom 2
22.000
Random Nos. Formulas
F Distribution with cell references
F Distribution
#ADDIN? Err:511

3.2.7 Generate Random Numbers Using the Chi-Squared (Excel) Distribution

Mean
2.500
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Chi-Squared with cell references and USD
Chi-Squared
#ADDIN? Err:511

3.2.8 Generate Random Numbers Using the Log Normal (Excel) Distribution
Mean
0.000
Std Dev
1.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Log Normal with cell references and USD
Log Normal
#ADDIN? Err:511

3.2.9 Generate Random Numbers Using the Power Normal Distribution

Mu
10
Sigma
2
Exponent P
0.5
Uniform Standard Deviate
#ADDIN?
Random Value Formula
Power Normal distribution
Power Normal
Err:511 Err:511

3.2.10 Generate Random Numbers Using the Inverse Gaussian Distribution

Mu
10
Sigma
2
USD
#ADDIN?
Max Iterations
1000
Precision
0.00001
Random Value Formula
Inverse Gaussian distribution
Inverse Gaussia
Err:511 Err:511

3.3.1 Generate Random Numbers Using the Gamma (Excel) Distribution

Alpha
3.000
Beta
1.000
demoSimetar-Sim.xls

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Uniform Standard Deviate

Gamma with cell references and USD

#ADDIN?
Gamma

Random Nos. Formulas

#ADDIN? Err:511

3.3.2 Generate Random Numbers Using the Truncated Gamma Distribution

Alpha
3
Beta
1
Minimum
0.5
Maximum
5
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Truncated Gamma with cell references and USD
Tgamma
Err:511 Err:511

3.3.3 Generate Random Numbers Using the Exponential Distribution

Exponential's only parameter
2.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Exponential distribution
Exponential
Err:511 Err:511
Exponential distribution with USD
Exponential
Err:511 Err:511

3.3.4 Generate Random Numbers Using the Double Exponential Distribution

Double Exponential parameter
2.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Double exponential distribution
Double Expon.
Err:511 Err:511
Double exponential distribution with USD
Double Expon.
Err:511 Err:511

3.3.5 Generate Random Numbers Using the Wiebull Distribution

Alpha parameter
1.000
Beta parameter
35.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Wiebull distribution
Wiebull
Err:511 Err:511
Wiebull distribution with USD
Wiebull
Err:511 Err:511

3.3.6 Generate Random Numbers Using the Truncated Wiebull Distribution

Alpha parameter
1.000
Beta parameter
35.000
Minimum
10.000
Maximum
50.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Truncated Wiebull distribution
TWiebull
Err:511 Err:511
Truncated Wiebull distribution with USD
TWiebull
Err:511 Err:511

3.3.7 Generate Random Numbers Using the Cauchy Distribution

Median
10.000
Sigma
1.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Cauchy
Cauchy
Err:511 Err:511
Cauchy with USD
Cauchy
Err:511 Err:511

3.3.8 Generate Random Numbers Using the Logistic Distribution

Mu
1.000
Sigma
0.300
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Logistic distribution
Logistic
Err:511 Err:511
Logistic distribution with USD
Logistic
Err:511 Err:511

3.3.9 Generate Random Numbers Using the Log-Log Distribution

Mu
10
Sigma
3
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Log-Log Distribution
Log Log
Err:511 Err:511

3.3.10 Generate Random Numbers Using the Log-Logisitic Distribution

Alpha
3
Beta
10
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Log Logistic
Log Logistic
Err:511 Err:511

3.3.11 Generate Random Numbers Using the Extreme Value Distribution

Mu is the location parameter
5.000
Sigma is scale parameter
0.500
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Extreme value distribution
Extreme Value
Err:511 Err:511
Extreme value distribution with USD
Extreme Value
Err:511 Err:511

3.3.12 Generate Random Numbers Using the Pareto Distribution

Alpha parameter
1.000
Beta Parameter
5.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Pareto distribution
Pareto
Err:511 Err:511
Pareto with a USD
Pareto
Err:511 Err:511

3.4.1 Generate Random Numbers Using the Traingle Distribution

Minimum
12.000
Mode
18.000
Maximum
27.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Triangle Distribution
Triangle
Err:511 Err:511
Genearalized triangle
Triangle
Err:511 Err:511

3.4.2 Generate Random Numbers Using the Beta (Excel) Distribution

Alpha
1.500
Beta
5.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Beta with cell references and USD
Beta
#ADDIN? Err:511

3.4.3 Generate Random Numbers Using the PERT Distribution

Lower bound parameter A
1.000
Middle Lower bound parameter B
5.000
Upper Lower bound parameter C
7.000
Uniform Standard Deviate
#ADDIN?
Random Nos.

Formulas
demoSimetar-Sim.xls

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PERT distribution using cell references

PERT distribution using a USD

D
PERT
PERT

Err:511 Err:511
Err:511 Err:511

3.4.4 Generate Random Numbers Using the Cosine Distribution

Center
10
Radius
2
Uniform Standard Deviate
#ADDIN?
Max Iterations
500
Precision
0.0001
Random Value Formula
Cosine Distribution
Cosine
Err:511 Err:511

3.4.5 Generate Random Numbers Using the Semicircle Distribution

Center
5
Radius
1
Uniform Standard Deviate
#ADDIN?
Max Iter
500
Precision
0.001
Random Value Formula
Semicircle distribution
SemiCircle
Err:511 Err:511

3.5.1 Generate Random Numbers Using the GRK Distributions

Parameters for the GRK Distribution
Minimum
3.000
Mode
5.000
Maximum
16.000
Uniform Standard Deviate
#ADDIN?
Random Nos.
Specific Formula using actual numbers
GRK
Err:511
General Formula using cell references
GRK
Err:511
General Formula with a USD specified
GRK
Err:511

Formulas
Err:511
Err:511
Err:511

3.5.2 Generate Random Numbers Using the GRKS Distributions

General formula without bounds
GRKS
Lower no. of standard deviations
3.000 GRKS Min
Upper no. of standard deviations
4.000 GRKS Max
GRKS Min&Max

Err:511
Err:511
Err:511
Err:511

Err:511
Err:511
Err:511
Err:511

3.6.1 Generate Random Numbers Using the Bernoulli Distribution

Parameter for the Bernoulli Distribution
Probability of a success or a 1
0.450
Random Nos. Formulas
Specific Formula using actual numbers
Bernoulli
Err:511 Err:511
General Formula using cell references
Bernoulli
Err:511 Err:511

3.6.2 Generate Random Numbers Using the Binomial Distribution

N
6.000
P
0.300
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Binomial Disttribution
Binomial
Err:511 Err:511
Binomial Disttribution with a USD
Binomial
Err:511 Err:511

3.6.3 Generate Random Numbers Using the Negative Binomial Distribution

N
6.000
P
0.300
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Negative Binomial
Neg. Binomial
Err:511 Err:511
Negative Binomial with a USD
Neg. Binomial
Err:511 Err:511

3.6.4 Generate Random Numbers Using the Multinomial Distribution

No. of Trials
54.000
Array of Probs
0.1
Random Value Formula
0.2 Array function
Err:511 Err:511
0.3
Err:511
0.4
Err:511
USD
#ADDIN?
Err:511
Probs as Scalar
0.5 Scalar Function
Err:511 Err:511

Keith did I do this one right?

Third value is always zero.

3.6.5 Generate Random Numbers Using the Poisson Distribution

L
5.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Poisson
Poisson
Err:511 Err:511
Poisson with USD
Poisson
Err:511 Err:511

3.6.6 Generate Random Numbers Using the Geometric Distribution

P
0.300
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Geometric
Geometric
Err:511 Err:511
Geometric with USD
Geometric
Err:511 Err:511

3.6.7 Generate Random Numbers Using the Hypergeometric Distribution

N
100.000
M
25.000
K
5.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Hypogeometric
Hypogeometric
Err:511 Err:511
Hypogeometric with USD
Hypogeometric
Err:511 Err:511

3.7.1 Generate Random Numbers Using the Empirical Distribution

Parameters for an Empirical Distribution
P(x)

Price
0
0.038462
0.115385
0.192308
0.269231
0.346154
0.423077
0.500000
0.576923
0.653846
0.730769
0.807692
0.884615

1.5030
1.5031
1.9440
2.0112
2.0743
2.2647
2.2847
2.3649
2.3749
2.4551
2.5052
2.5453
2.7156

Uniform Std Deviate

#ADDIN?
Random Nos. Formulas
Four Forms of the Empirical Distribution using a Common USD
Empirical 1
Err:511 Err:511
Empirical 2
Err:511 Err:511
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0.961538
1

C
3.2467
3.2468

Empirical 3
EMP Norm Tail

Err:511 Err:511
Err:511 Err:511

3.7.2 Generate Random Numbers Using the Truncated Empirical Distribution

Minimum
2.000
Maximum
3.000
Random Nos. Formulas
Emp Min & Max
Err:511 Err:511
Emp Min & Max
Err:511 Err:511
3.7.3 Generate Random Numbers Using the Discrete Empirical Distribution
Discrete Random Variable
1
5 USD
#ADDIN?
8
Random Nos. Formulas
9
Discrete Emp
Err:511 Err:511
11
Discrete Emp
Err:511 Err:511

3.7.4 Generate Random Numbers Using the Kernel Density Estimator Distribution
Unsorted Data Range
1.500 Bandwidth
Err:511 Err:511
1.940 Kernel Estimator
0 "0" indicated Gaussian
2.540 USD
#ADDIN?
2.360 Max Iterations
1000
2.280 Precision
0.00001
2.370
2.070
Random Nos. Formulas
2.500
Kernel Density E
Err:511 Err:511
2.260
3.240
2.710
2.450
2.507

3.7.5 Discrete Uniform Distribution or Sampling Without Replacement

Black Die
White Die
Random No.
Formula
1
1
Roll Black Die
Err:511 Err:511
2
2
Roll White Die
Err:511 Err:511
3
3
Sum of Two Dice
Err:511 Err:511
4
4
5
5
6
6
3.7.6 Random Sorting a List of Names Using the Array Function form of RANDSORT
List of Names to be Sampled
Random Nos. Formula
Ace
Random Shuffle of Objects
Err:511
Err:511
King
Using the Array Function form:
Err:511
Queen
Err:511
Jack
Err:511
Draw a single name at random
Err:511
Err:511

3.7.7 Generate Random Numbers Using the Bootstrap Simulation

Random Values for X
Random Nos.
1
Bootstrap
Err:511
2
Bootstrap
Err:511
3
Bootstrap
Err:511
4
Bootstrap
Err:511
5
Bootstrap
Err:511
6
Bootstrap
Err:511

Formulas
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Bootstrap Simulation with a Matrix of Observations: Preserve the values across the row.
Random Nos.
X1
X2
X3
X1
X2
1.0
23.4
4.5 Bootstrap
Err:511
Err:511
4.0
56.7
3.3 Bootstrap
Err:511
Err:511
8.0
12.9
6.9 Bootstrap
Err:511
Err:511
9.0
6.4
2.3 Bootstrap
Err:511
Err:511
5.0
55.5
1.5 Bootstrap
Err:511
Err:511
Formula
Err:511

3.8 Generate Random Numbers Using the Random Walk

Mean
10
Standard Deviation
3
USD
#ADDIN?
Distribution
Gaussian
0
Initial Value
4.5
Coefficient
0
Random Walk sequence
RandomWalk

X3
Err:511
Err:511
Err:511
Err:511
Err:511

Random Nos. Formulas

Err:511 Err:511

3.9.1 Generate Correlated Standard Normal Deviates

Correlation Matrix for 3 Random Variables
Price 1
Price 2
Price 3
Price 1
1
0.868849998 0.9809579633
Price 2
0
1
0.815781325
Price 3
0
0
1
CSND is an array function so highlight a 3x1 array for the three variables
Random Nos. Formulas
Price 1
Err:511 Err:511
Price 2
Err:511
Price 3
Err:511

3.9.2 Generate Correlated Uniform Standard Deviates

Correlation Matrix for 3 Random Variables
Price 1
Price 2
Price 3
Price 1
1
0.868849998 0.9809579633
Price 2
0
1
0.815781325
Price 3
0
0
1
CUSD is an array function so highlight a 3x1 array for the three variables
Random Nos. Formulas
Price 1
Err:511 Err:511
Price 2
Err:511
Price 3
Err:511

3.9.3 Multivariate Normal Distribution in One Step

Covariance Matrix
Price 1
Price 2
Price 3
Prod 1
Err:511
100.000
173.770
147.144

Prod 2
-8.980

Prod 3
-43.833

-190.314

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Err:511
Err:511
Err:511
Err:511
Err:511

400.000

244.734
225.000

Array Function for

Correlated MVN Values
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Assumed Means
Err:511
100.0
Err:511
200.0
Err:511
250.0
Err:511
25.0
Err:511
190.0
Err:511
260.0

-9.523
-12.938
9.000

-183.525
-63.369
39.829
625.000

-246.381
-304.910
63.377
425.693
1296.000

Formulas for random numbers

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

3.9.4 Multivariate Normal Distribution Simulated in Two Steps

Correlation Matrix for 6 Random Variables
Price 1
Price 2
Price 3
Prod 1
Prod 2
Price 1
1
0.868849998 0.9809579633 -0.2993458442 -0.1753334709
Price 2
0
1
0.815781325 -0.1587216966 -0.3670505748
Price 3
0
0
1 -0.2875080178
-0.16898345
Prod 1
0
0
0
1 0.5310527664
Prod 2
0
0
0
0
1
Prod 3
0
0
0
0
0

Prod 3
-0.5286511553
-0.3421955718
-0.5646478961
0.5868265688
0.4729917474
1

Use CSND as an Array Function and let Simetar generate its own Independent SNDs
Vector of CSNDs Formulas used for the CSND random numbers
Err:511 Err:511
Err:511 Err:511
Err:511 Err:511
Err:511 Err:511
Err:511 Err:511
Err:511 Err:511
Second step in a Multivariate Normal Distribution is to use the CSNDs with Means and Standard Deviations
Variable
Mean
Std Dev
CSND Random Value Formulas used for the random numbers
Price 1
100.0
10
Err:511
Err:511 Err:511
Price 2
200.0
20
Err:511
Err:511 Err:511
Price 3
250.0
15
Err:511
Err:511 Err:511
Prod 1
25.0
3
Err:511
Err:511 Err:511
Prod 2
190.0
25
Err:511
Err:511 Err:511
Prod 3
260.0
36
Err:511
Err:511 Err:511

3.9.5 Multivariate Empirical Distribution in One Step

Historical Data for the Random Variables
Price 1
Price 2
Price 3
1
1.500
2.420
2
1.940
2.570
3
2.540
3.720
4
2.360
3.720
5
2.280
2.610
6
2.370
3.000
7
2.070
3.240
8
2.500
3.260
9
2.260
3.450
10
3.240
4.550
11
2.710
4.300
12
2.450
3.380
13
2.007
2.605
Variables
Price 1
Price 2
Price 3
Prod 1
Prod 2
Prod 3

Prod 1
1.370
1.700
2.270
2.100
2.120
2.251
1.873
2.310
2.128
3.190
2.340
2.200
1.815

Prod 2
119.375
119.844
84.613
116.165
118.503
108.581
131.480
100.705
138.608
113.453
127.051
127.043
133.300

Prod 3
34.428
37.674
34.070
32.748
39.498
34.333
39.305
38.213
37.575
35.812
36.314
39.740
43.265

67.744
69.396
63.779
55.428
63.077
59.256
72.616
59.912
72.805
55.614
67.471
69.546
66.469

One Step MVE Formulas used for the random numbers

Err:511 Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

3.9.6 Multivariate Empirical Distribution in Two Steps

Correlation Matrix for 6 Random Variables
Price 1
Price 2
Price 3
Price 1
1
0.868849998 0.9809579633
Price 2
0
1
0.815781325
Price 3
0
0
1
Prod 1
0
0
0
Prod 2
0
0
0
Prod 3
0
0
0

Prod 1
Prod 2
Prod 3
-0.2993458442 -0.1753334709
-0.5286511553
-0.1587216966 -0.3670505748
-0.3421955718
-0.2875080178
-0.16898345
-0.5646478961
1 0.5310527664
0.5868265688
0
1
0.4729917474
0
0
1

Use CUSD as an Array Function and let Simetar generate its own Indep. SNDs
CUSDs
Price 1
Err:511 Err:511
Price 2
Err:511 Err:511
Price 3
Err:511 Err:511
Prod 1
Err:511 Err:511
Prod 2
Err:511 Err:511
Prod 3
Err:511 Err:511
Second step is to use the vector of CUSDs to simulate Multivariate Empirical random variables.
F(x) probabilities
Sorted Deviates as a Percent of the Means
Price 1
Price 2
Price 3
Prod 1
Prod 2
Prod 3
0.0000
-0.3549
-0.2654
-0.3563
-0.2852
-0.1185
0.0385
-0.3549
-0.2654
-0.3563
-0.2851
-0.1185
0.1154
-0.1656
-0.2199
-0.2012
-0.1492
-0.0829
0.1923
-0.1368
-0.2091
-0.1470
-0.0826
-0.0759
0.2692
-0.1097
-0.2077
-0.1199
-0.0415
-0.0733
0.3462
-0.0280
-0.0893
-0.0133
-0.0186
-0.0361
0.4231
-0.0194
-0.0165
-0.0039
0.0012
-0.0226
0.5000
0.0150
-0.0104
-0.0001
0.0085
0.0114
0.5769
0.0193
0.0260
0.0337
0.0125
0.0141
0.6538
0.0537
0.0473
0.0577
0.0733
0.0286
0.7308
0.0752
0.1292
0.0666
0.0734
0.0579
0.8077
0.0924
0.1292
0.0854
0.1108
0.0631
0.8846
0.1655
0.3053
0.0995
0.1262
0.0697
0.9615
0.3935
0.3812
0.4989
0.1710
0.1645
1.0000
0.3935
0.3812
0.4989
0.1711
0.1646

-0.1454
-0.1453
-0.1425
-0.0863
-0.0762
-0.0274
-0.0166
0.0249
0.0403
0.0446
0.0700
0.0723
0.1197
0.1226
0.1226

Means
Trans CSNDs
Random Values

64.855 Formulas for sixth variable

Err:511 Err:511
Err:511 Err:511

2.325
Err:511
Err:511

3.294
Err:511
Err:511

2.128
Err:511
Err:511

118.363
Err:511
Err:511

37.152
Err:511
Err:511

3.9.7 Multivariate Mixed Distribution

demoSimetar-Sim.xls

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Correltation Matrix for four correlated random variables

Variable 1
Variable 2
Variable 3
Variable 4
Variable 1
1
0.868849998 0.9809579633 -0.2993458442
Variable 2
1
0.815781325 -0.1587216966
Variable 3
1 -0.2875080178
Variable 4
1
Generate a vector of CUSDs using the correlation matrix
Variable 1
Err:511 Err:511
Variable 2
Err:511
Variable 3
Err:511
Variable 4
Err:511
Parameters for the four distributions
Min
Mean/Middle
Max
Variable 1
U(Min, Max, CUSD1)
10
20
Variable 2
Emp(Mean, Si, F(Si), CUSD2)
2.325
Variable 3
GRKS(Min, Middle, Max, CUSD3)
5
15
17
Variable 4
Beta(CUSD4, Alpha, Beta)
1.5
5
Si as a Fraction of the Mean for Empirical
-0.3549
-0.3549
-0.1656
-0.1368
-0.1097
Correlated
-0.0280
Random VariableRandom Numbers Formulas
-0.0194
Variable 1
Err:511 Err:511
0.0150
Variable 2
Err:511 Err:511
0.0193
Variable 3
Err:511 Err:511
0.0537
Variable 4
Err:511 Err:511
0.0752
0.0924
0.1655
0.3935
0.3935

3.9.8 Generate Random Numbers Using the Multivariave Lognormal Distribution

Covariance Matrix
Mean Vector
Price 1
Price 2
Price 3
14
Err:511
16.000
-5.000
10.000
20
Err:511
25.000
-9.000
17
Err:511
49.000
Correlated
Random VariableRandom Numbers Formulas
MVLogNormal 1
Err:511 Err:511
MVLogNormal 2
Err:511 Put in a 1 for moments to return normal numbers.
MVLogNormal 3
Err:511

SND Array
#ADDIN?
#ADDIN?
#ADDIN?

3.3.9 Generate Random Numbers Using the Multivariate Student's t

Covariance Matrix
Mean Vector
Price 1
Price 2
Price 3
14
Price 1
16.00
-5.00
20
Price 2
25.00
17
Price 3
Degrees of Freedom
SNDs
#ADDIN?
#ADDIN?
#ADDIN?

10.00
-9.00
49.00

25
Correlated
Random VariableRandom Numbers Formulas
MVStudent t 1
Err:511 Err:511
MVStudent t 2
Err:511
MVStudent t 3
Err:511

3.9.10 Generate Random Numbers Using the Hotelling T-Squared Distribution

P dimension of covariance matrix
3.000
df Degrees of Freedom
25.000
Uniform Standard Deviate
#ADDIN?
Random Nos. Formulas
Hotelling T-Squared distribution
Hotelling T Sq
Err:511 Err:511
Hotelling T-Squared distribution with USD
Hotelling T Sq
Err:511 Err:511

3.9.11 Generate Random Numbers Using the Wishart Distribution

Positive Definite Covariance Matrix
16
-5.000
10.000
25.000
-9.000
49.000
df Degrees of Freedom
25.000
Random Nos.
Wishart distribution
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Formulas
Err:511 Err:511
Err:511
Err:511

3.9.12 Generate Random Numbers Using the Wilks Lambda Distribution

P dimension of Wishart matrix
3.000
N1
25.000
N2
50.000
Random Nos. Formulas
Wilks Lambda distribution
Wilks Lambda
Err:511 Err:511

3.9.13 Generate Random Numbers Using the Dirichlet Distribution

Alphas Array
IUSDs
Random Nos.
12
#ADDIN?
Dirichlet 1
Err:511
13
#ADDIN?
Dirichlet 2
Err:511
14
#ADDIN?
Dirichlet 3
Err:511
15
#ADDIN?
Dirichlet 4
Err:511

Formulas
Err:511
Err:511
Err:511
Err:511

3.9.14 Uncorrelate Random Deviates -- CSND and CUSD

Price 1
Price 2
Price 3
Price 1
1
0.868849998 0.9809579633
Price 2
0
1
0.815781325
Price 3
0
0
1
Generate an array of CSNDs and an array of CUSDs, using an array of Independent Standard Normal Deviates
CSNDs
CUSDs
ISNDs
Price 1
Err:511
Err:511
#ADDIN?
Price 2
Err:511
Err:511
#ADDIN?
Price 3
Err:511
Err:511
#ADDIN?
Err:511
Err:511
Err:511
Next Uncorrelate the CSNDs and CUSDs
Uncorr CSNDs

Uncorr CUSDs
demoSimetar-Sim.xls

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Price 1
Price 2
Price 3

Err:511
Err:511
Err:511
Err:511

E
Err:511
Err:511
Err:511

These two arrays are the same as the starting

array of ISNDs prior to the correlation.

Err:511

3.10 Iteration Counter in Simetar shows the iteration during simulation

Count of present iteration
#ADDIN? Err:511

demoSimetar-Sim.xls

Page 7