Assigning Probability to Random Series from A Time Series Element

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Ebrahim Ahmadisharaf

• February 01, 2018 17:50

When using multiple time series generation capability of a time series element (https://www.goldsim.com/Help/#!Modules/5/definingmultipletimeseriesinasingletimeserieselement.htm), is it possible to assign a probability to each series, so that each time series has a unique probability? For example, if we have three time series, can we assign the unique probability of 0.2, 0.4 and 0.2 to the three time series, respectively?

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  Jason

  • February 01, 2018 19:10

  Ebrahim,

  When you say "assign a probability" to each series, do you mean that you want to define the probability that a particular series is selected? So in the example you present, there is a 20% chance that the first series is selected and so on? By the way, if this is the case, then the probabilities would need to add up to 1.0.

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  Ebrahim Ahmadisharaf

  • February 01, 2018 19:14

  Yes. That's exactly what I meant. Thanks Jason!

   

  But where/how do we input those probabilities in GoldSim? I can define multiple time series but don't know how to assign a unique probability to each.

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  Jason

  • February 01, 2018 19:26

  This is how I might do something like this:

  Set up a Stochastic element with a discrete probability called "Series_ID" that will be used to select the time series.

  

  Next, refer to Series_ID in your time series multiple series input definition.

  

   

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  Ebrahim Ahmadisharaf

  • February 01, 2018 22:35

  Thanks Jason!

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  Jason

  • February 01, 2018 23:44

  No problem. Glad to help!

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