Simulate Markov chain

This function simulates a Markov chain.

Usage

simulate_markov_chain(Gamma, T, delta = oeli::stationary_distribution(Gamma))

Arguments

Gamma

[matrix()]
A transition probability matrix.

T

[integer(1)]
The length of the Markov chain.

delta

[numeric()]
A probability vector, the initial distribution.

The stationary distribution is used by default.

Value

A numeric vector of length T with states.

See also

Other simulation helpers: Simulator, correlated_regressors(), ddirichlet_cpp(), dmvnorm_cpp(), dtnorm_cpp(), dwishart_cpp()

Examples

Gamma <- matrix(c(0.8, 0.2, 0.3, 0.7), byrow = TRUE, nrow = 2)
delta <- c(0.6, 0.4)
simulate_markov_chain(Gamma = Gamma, T = 20, delta = delta)
#>  [1] 2 1 1 1 2 1 1 2 2 2 2 2 2 2 2 2 2 1 1 1