R库用于离散马尔可夫链仿真

Question

我正在寻找类似“msm”软件包的内容，但要查找离散的马尔可夫链。例如，如果我有一个这样定义的转换矩阵

Pi <- matrix(c(1/3,1/3,1/3,
0,2/3,1/6,
2/3,0,1/2))

用于状态A，B，C。如何根据该过渡矩阵模拟马尔可夫链？

Answer 1

前一阵子，我写了一组函数来仿真和估计离散马尔可夫链概率矩阵:http://www.feferraz.net/files/lista/DTMC.R。

您要求的相关代码:

simula <- function(trans,N) {
        transita <- function(char,trans) {
                sample(colnames(trans),1,prob=trans[char,])
        }

 sim <- character(N)
 sim[1] <- sample(colnames(trans),1)
 for (i in 2:N) {
  sim[i] <- transita(sim[i-1],trans)
 }

 sim
}

#example
#Obs: works for N >= 2 only. For higher order matrices just define an
#appropriate mattrans
mattrans <- matrix(c(0.97,0.03,0.01,0.99),ncol=2,byrow=TRUE)
colnames(mattrans) <- c('0','1')
row.names(mattrans) <- c('0','1')
instancia <- simula(mattrans,255) # simulates 255 steps in the process