How to generate 100 sample points of a 3-state Markov chain with initial prob vector and transition probability matrix using inverse transform method on matlab.

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bmp_sq 2015-11-30

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https://ww2.mathworks.cn/matlabcentral/answers/258137-how-to-generate-100-sample-points-of-a-3-state-markov-chain-with-initial-prob-vector-and-transition

编辑： Rick Rosson 2015-11-30

P   = [0.3 0.1 0.1; 0.3 0.9 0.1; 0.4 0 0.8]; % Transition Matrix
P0  = [0.1 0.9 0]; %initial probability Vector

Then I dont know how to do the rest. Please help me.

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Answer 1

Rick Rosson 2015-11-30

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https://ww2.mathworks.cn/matlabcentral/answers/258137-how-to-generate-100-sample-points-of-a-3-state-markov-chain-with-initial-prob-vector-and-transition#answer_201585

编辑：Rick Rosson 2015-11-30

在 MATLAB Online 中打开

Here's a start:

   P = [0.3 0.1 0.1; 0.3 0.9 0.1; 0.4 0 0.8]; % Transition Matrix 
   P0 = [0.1 0.9 0]; %initial probability Vector
   C0 = cumsum(P0);
   M = length(P0);
   N = 100;
   x = nan(N,1);
   x(1) = (M + 1) - sum(rand <= C0);
   for k = 2:N
       x(k) = ...
   end

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bmp_sq 2015-11-30

what does nan(N,1) function do btw? Can you explain. I never use matlab before. thanks.

Stephen23 2015-11-30

编辑：Stephen23 2015-11-30

@jndmwx: then you need to learn to use the documentation. You can search the documentation using any good internet search engine. I just searched for "MATLAB nan", and this is the first result that was returned:

http://www.mathworks.com/help/matlab/ref/nan.html

"For example, NaN(3,4) returns a 3-by-4 array of NaN values".

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