Sim.Markov.Chain {GaussianHMM1d}

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 probality 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)