[R] Markov Chain Model Simulation
Juliane Willert
juliane_willert at web.de
Fri Jul 6 00:31:32 CEST 2007
Hi everybody,
I have not worked yet very much with R and must investigate a Monte
Carlo Simulation.
My model contains an autoregression(1) and a two state markov chain.
For example:
X_t = Tau_t + u_t
Tau_t = nu_t + Tau_{t-1}
nu_t = nu_1 * S_t + nu_0 * (1-S_t)
phi(L) u_t = epsilon_t, epsilon_t is i.i.d.(0, sigma^2_epsilon)
S_t is the markov switching variable and is either 0 or 1. phi(L) is the
first lag of the residuals.
I would appreciate to get any hint how to simulate such a model in R .
Thank you,
Juliane
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