Re: simulating a 2-state Markov process
- To: mathgroup at smc.vnet.net
- Subject: [mg41370] Re: simulating a 2-state Markov process
- From: TCoxDenver at aol.com
- Date: Fri, 16 May 2003 06:45:05 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
In a message dated 5/15/2003 5:29:14 PM Mountain Daylight Time, deb at alceon.com writes: > <<Can someone please suggest an efficient way to use Mathematica to > draw realizations from a 2-state Markov process as outlined below?>> At each time step, sample from a uniform U[0, 1] distribution. If you are in state H and the sampled value is no greater than p, then go to T, else stay in H. Similarly, if you are in T and the sampled value is no greater than q, go to H, else stay in T. All you need is a binary variable to show which state you are in now (1 = H, 0 = T) and a uniform random number generator and you are ready to go. -- Tony