I have a state transition probability matrix and a state probability vector
[0.9 0.1; 0.1 0.9] & [0.4 0.6] respectively.
Now, I want to generate the states according to this. say 100 state sequence.
Any sort of help would be appreciated.
Thanks.
You will need to pick one of the two states initially with 0.4,0.6 distribution.
Then write a if-else type of a code to simulate the transition probability matrix. Do you want a MATLAB code?