rcfmc: Simulate a continuous time finite state space Markov chain
Description
This function simulates a single realisation from a continuous time Markov chain having a finite state space based on a given transition rate matrix.
Usage
rcfmc(n,Q,pi0)
Value
An R stepfun object containing the sampled path of the process.
Arguments
n
The number of states to be sampled from the Markov chain, including the initial state, which will be sampled using pi0.
Q
The transition rate matrix of the Markov chain, where each off-diagonal element Q[i,j] represents the rate of transition from state i to state j. This matrix is assumed to be square, having rows summing to zero.
pi0
A vector representing the probability distribution of the
initial state of the Markov chain. If this vector is of length r,
then the transition matrix P is assumed to be r x r. The elements of this vector are assumed to be non-negative and sum to one, though in fact, they will be normalised by the sampling procedure.