spuRs (version 2.0.0)

MCSimulation: A function to simulate a discrete time Markov chain.

Description

This function simulates a discrete time Markov chain with transition matrix P, state space 0,1,..,n and and initial state i for nsteps transitions.

Usage

MCSimulation(P,i,nsteps)

Arguments

P

the transition matrix.

i

the initial state.

nsteps

the number of transitions to be simulated.

Value

Returns the vector statehist containing the realisation of the chain for nsteps transitions.\

Details

We assume that P is well defined transition matrix with rows summing to 1.

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

MCEstimation, CMCSimulation

Examples

P <- matrix(c(0.5,0.5,0,0,0.7,0.1,0.2,0,0,0.1,0.1,0.8,0,0,0.7,0.3),
            nrow = 4, ncol = 4, byrow = TRUE)
MCSimulation(P, 0, 250)