Markov Chain Object
Creates a Markov chain object with class "mchain"
. It does not simulate data.
mchain(x, Pi, delta, nonstat = TRUE)
x |
is a vector of length n containing the observed process, else it is specified as |
Pi |
is the m*m transition probability matrix of the Markov chain. |
delta |
is the marginal probability distribution of the m state Markov chain at the first time point. |
nonstat |
is logical, |
A list
object with class "mchain"
, containing the above arguments as named components.
Pi <- matrix(c(0.8, 0.2, 0.3, 0.7), byrow=TRUE, nrow=2) # Create a Markov chain object with no data (NULL) x <- mchain(NULL, Pi, c(0,1)) # Simulate some data x <- simulate(x, nsim=2000) # estimate transition probabilities estPi <- table(x$mc[-length(x$mc)], x$mc[-1]) rowtotal <- estPi %*% matrix(1, nrow=nrow(Pi), ncol=1) estPi <- diag(as.vector(1/rowtotal)) %*% estPi print(estPi)
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