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)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.