CMCSimulation: A function to simulate a continuous time Markov chain.

In spuRs: Functions and Datasets for "Introduction to Scientific Programming and Simulation Using R"

Description

This function simulates a continuous time finite state space Markov chain with known rate matrix Q, state space 0,1,..,n and initial state i for the time period (0,T). If plotflag is TRUE it also produces a plot.

Usage

CMCSimulation(Q,i,Tend,plotflag = FALSE)

Arguments

Q	the rate matrix.
i	the initial state.
Tend	the end of the simulation period (0,T).
plotflag	flag indicating if plot needed

Details

We assume that Q is well defined rate matrix.

Value

Returns the matrix (statehist,timehist) containing the realisation of the chain for the specified period. The function also produces a plot of the realisation. \

References

Jones, O.D., R. Maillardet, and A.P. Robinson. 2009. An Introduction to Scientific Programming and Simulation, Using R. Chapman And Hall/CRC.

See Also

MCSimulation

Examples

Q <- matrix(c(-24,24,0, 2,-14,12, 0,4,-4), 
            nrow = 3, ncol = 3, byrow = TRUE)
CMCSimulation(Q,0,1)

Example output

Loading required package: MASS
Loading required package: lattice
     statehist   timehist
[1,]         0 0.00000000
[2,]         1 0.01925483
[3,]         0 0.10298757
[4,]         1 0.13101065
[5,]         2 0.20935417
[6,]         1 0.46929502
[7,]         2 0.49303913
[8,]         1 1.37849828

spuRs documentation built on May 2, 2019, 12:44 p.m.