Description Usage Arguments Details Value Author(s) References See Also Examples
Returns an array of T indexes distributed as specified by p (which should be a normalized probability vector).
1 | randindx(p, Total, NO_CHK)
|
p |
A row vector of normalized probabilities that dictate the transition probability from the current state to the next state. For example, p = [0.2, 0.8] indicates that the current state transitoins to state 1 at 0.2 and 2 at 0.8. The current state itself can either be the state 1 or 2. |
Total |
Total number of states needed to be generated using the input transition vector. |
NO_CHK |
Check whether the first argument is a valid row vector of normalized probabilities. |
The function is used by nbh_gen
to generate random data point based on the user-supplied transition probability matrix.
I |
Index/Indices or state(s) sampled following the transition. |
probability.
Yue Li
Capp\'e, O. (2001). H2M : A set of MATLAB/OCTAVE functions for the EM estimation of mixtures and hidden Markov models. (http://perso.telecom-paristech.fr/cappe/h2m/)
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | # Total contains the length of data to simulate
Total <- 100
# number of states
N <- 2
# transition probabilities between states
TRANS <- matrix(c(0.9, 0.1, 0.3, 0.7), nrow=2, byrow=TRUE)
label <- matrix(0, Total, 1)
# Simulate initial state
label[1] <- randindx(matrix(1,ncol=N)/N, 1, 1)
# Use Markov property for the following time index
for(t in 2:Total) {
label[t] <- randindx(TRANS[label[t-1],], 1, 1)
}
plot(label)
|
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