[R] Markov chain simulation
Kaptue Tchuente, Armel
armel.kaptue at sdstate.edu
Tue Jan 28 19:23:44 CET 2014
Hi Kehl,
Thank you for your reply.
Indeed, there are many ways to simulate a markov chain sequence.
For instance, if I assume that n=20, rnd_occ1<-c(0, 0, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1) and rnd_occ2<-c(0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 0, 0) are two markov chain sequences having the transition matrix TransitionMatrix<- matrix(c(0.7, 0.3, 0.4, 0.6),byrow=TRUE, nrow=2)
For the first sequence the state "1" has 9 occurences while for the second sequence, the state "1" has 6 occurences.
What I'm looking for it is an algorithm or a library to simulate efficiently such a markov chain sequence with for instance 12 ooccurences of the state '1'
Thanks
Armel
________________________________________
From: Kehl Dániel [kehld at ktk.pte.hu]
Sent: Tuesday, January 28, 2014 8:00 AM
To: Kaptue Tchuente, Armel; R-help at r-project.org
Subject: RE: [R] Markov chain simulation
Hi, see inline
________________________________________
Feladó: r-help-bounces at r-project.org [r-help-bounces at r-project.org] ; meghatalmazó: Armel KAPTUE [armel.kaptue at sdstate.edu]
Küldve: 2014. január 28. 8:16
To: R-help at r-project.org
Tárgy: [R] Markov chain simulation
Hi there,
I'm wonder if in R there is a way to simulate a discrete Markov chains with
a specific number of occurence of state knowing the transition matrixway.
Indeed there are many ways to do that in R!
For example, how to simualte a markov chain of length n with p occurences
(p<n) of the sate '0' for a transition matrix defined by:
I am not sure what you mean here?! If you give the length of the chain, depending on the transition matrix you are going to get some occurences of state '0', I do not think you can specify n, p and the transition matrix all at once!
TransitionMatrix<- matrix(c(0.7, 0.3, 0.4, 0.6),byrow=TRUE, nrow=2)
colnames(TransitionMatrix) <- c('0','1')
row.names(TransitionMatrix) <- c('0','1')
Please try googling first, there are a lot of good examples on your problem, among the first ones:
http://stackoverflow.com/questions/2754469/r-library-for-discrete-markov-chain-simulation
Best
daniel
Thanks,
--
Armel
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