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Math Help - Markov model state generation

  1. #1
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    Markov model state generation

    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.
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  2. #2
    Lord of certain Rings
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    Re: Markov model state generation

    Quote Originally Posted by lemontree45 View Post
    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?
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  3. #3
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    Re: Markov model state generation

    Thank you for the response.

    Yes.I am looking for the matlab code to generate the sequence.
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