[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,

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