[R] Markov chain simulation

[Kaptue Tchuente, Armel]

Hi Kehl,

Thank you for your reply.

Indeed, there are many ways to simulate a markov chain sequence.

For instance, if I assume that n=20, rnd_occ1<-c(0, 0, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1) and rnd_occ2<-c(0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 0, 0) are two markov chain sequences having the transition matrix TransitionMatrix<- matrix(c(0.7, 0.3, 0.4, 0.6),byrow=TRUE, nrow=2)
For the first sequence the state "1" has 9 occurences while for the second sequence, the state "1" has 6 occurences.
What I'm looking for it is an algorithm or a library to simulate efficiently such a markov chain sequence with for instance 12 ooccurences of the state '1'

Thanks

Armel

________________________________________
From: Kehl Dániel [kehld at ktk.pte.hu]
Sent: Tuesday, January 28, 2014 8:00 AM
To: Kaptue Tchuente, Armel; R-help at r-project.org
Subject: RE: [R] Markov chain simulation

Hi, see inline
________________________________________
Feladó: r-help-bounces at r-project.org [r-help-bounces at r-project.org] ; meghatalmazó: Armel KAPTUE [armel.kaptue at sdstate.edu]
Küldve: 2014. január 28. 8:16
To: R-help at r-project.org
Tárgy: [R] Markov chain simulation

Hi there,

I'm wonder if in R there is a way to simulate a discrete Markov chains with
a specific number of occurence of state knowing the transition matrixway.

Indeed there are many ways to do that in R!

For example, how to simualte a markov chain of length n with p occurences
(p<n) of the sate '0' for a transition matrix defined by:

I am not sure what you mean here?! If you give the length of the chain, depending on the transition matrix you are going to get some occurences of state '0', I do not think you can specify n, p and the transition matrix all at once!

TransitionMatrix<- matrix(c(0.7, 0.3, 0.4, 0.6),byrow=TRUE, nrow=2)

colnames(TransitionMatrix) <- c('0','1')
row.names(TransitionMatrix) <- c('0','1')

Please try googling first, there are a lot of good examples on your problem, among the first ones:

http://stackoverflow.com/questions/2754469/r-library-for-discrete-markov-chain-simulation

Best
daniel

Thanks,
--
Armel

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