Markovmoments: Markovmoments

In sgmodel: Solves a Generic Stochastic Growth Model with a Representative Agent

Description

The function Markovmoments computes the expectation, variance, autocovariance and autocorrelation of a Markov process.

Usage

Markovmoments(states, ptm, ...)

Arguments

states	A numerical vector with the states of the Markov process.
ptm	The probability transition matrix, a square matrix of dimension length(states) whose columns sum to one.
...	Additional arguments.

Value

It returns a list containing:

Expectation	The mean of the process.
Variance	The variance of the process.
Autocovariance	The autocovariance of the process.
Autocorrelation	The autocorrelation of the process.
Stationary distribution	The stationary distribution of the process, used for the computation of the moments.

Examples

a <- c(-1, 1)
A <- matrix(c(0.5, 0.6,
              0.5, 0.4), 2, 2)
Markovmoments(a, A)

sgmodel documentation built on Feb. 27, 2020, 5:06 p.m.