Sim.Markov.Chain: Simulation of a finite Markov chain

In GaussianHMM1d: Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models

Simulation of a finite Markov chain

Description

This function generates a Markov chain X(1), ..., X(n) with transition matrix Q, starting from a state eta0.

Usage

Sim.Markov.Chain(Q, n, eta0)

Arguments

Q	Transition probability matrix (r x r);
n	length of series;
eta0	inital value in (1,...,r).

Value

x	Simulated Markov chain

Author(s)

Bouchra R Nasri and Bruno N Rémillard, January 31, 2019

Examples

Q <- matrix(c(0.8, 0.3, 0.2, 0.7),2,2) ;
sim <- Sim.Markov.Chain(Q,eta0=1,n=100)

GaussianHMM1d documentation built on April 3, 2025, 9:04 p.m.