Simulating a sample path using continuous time markov chain
I am trying to simulate a sample path using continuous time markov chain. This is what I've done:
set.seed(183427)
require(ECctmc)
# rates
r1 <- 1 # 1->2
r2 <- 0.75 # 2->3
r3 <- 0.5 # 3->1
r4 <- 0.5 # 3-> 2
Q <- matrix(c(-r1, r1, 0, 0, -r2, r2, r3, r4, -(r3+r4)),nrow = 3, byrow = TRUE)
# sample path
path <- sample_path(a=1, b = 3,t0=0, t1=5, Q=Q)
plot(stepfun(x=path[1:(nrow(path)-1),"time"], y = path[,"state"]), xlim = c(0,5), xlab = "Time", ylab = "State", main = "Sample path")
This works fine and I get a graph as an output where I have State on y axis and time on x-axis. However, in this case I have to specify my ending state b. I want to modify this code such that I don't have to specify the ending state and just give a rate matrix, initial distribution and the length of time interval T as an input. But I don't know how to do that. Help would be appreciated.
r markov-chains
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
add a comment |
I am trying to simulate a sample path using continuous time markov chain. This is what I've done:
set.seed(183427)
require(ECctmc)
# rates
r1 <- 1 # 1->2
r2 <- 0.75 # 2->3
r3 <- 0.5 # 3->1
r4 <- 0.5 # 3-> 2
Q <- matrix(c(-r1, r1, 0, 0, -r2, r2, r3, r4, -(r3+r4)),nrow = 3, byrow = TRUE)
# sample path
path <- sample_path(a=1, b = 3,t0=0, t1=5, Q=Q)
plot(stepfun(x=path[1:(nrow(path)-1),"time"], y = path[,"state"]), xlim = c(0,5), xlab = "Time", ylab = "State", main = "Sample path")
This works fine and I get a graph as an output where I have State on y axis and time on x-axis. However, in this case I have to specify my ending state b. I want to modify this code such that I don't have to specify the ending state and just give a rate matrix, initial distribution and the length of time interval T as an input. But I don't know how to do that. Help would be appreciated.
r markov-chains
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
add a comment |
I am trying to simulate a sample path using continuous time markov chain. This is what I've done:
set.seed(183427)
require(ECctmc)
# rates
r1 <- 1 # 1->2
r2 <- 0.75 # 2->3
r3 <- 0.5 # 3->1
r4 <- 0.5 # 3-> 2
Q <- matrix(c(-r1, r1, 0, 0, -r2, r2, r3, r4, -(r3+r4)),nrow = 3, byrow = TRUE)
# sample path
path <- sample_path(a=1, b = 3,t0=0, t1=5, Q=Q)
plot(stepfun(x=path[1:(nrow(path)-1),"time"], y = path[,"state"]), xlim = c(0,5), xlab = "Time", ylab = "State", main = "Sample path")
This works fine and I get a graph as an output where I have State on y axis and time on x-axis. However, in this case I have to specify my ending state b. I want to modify this code such that I don't have to specify the ending state and just give a rate matrix, initial distribution and the length of time interval T as an input. But I don't know how to do that. Help would be appreciated.
r markov-chains
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
I am trying to simulate a sample path using continuous time markov chain. This is what I've done:
set.seed(183427)
require(ECctmc)
# rates
r1 <- 1 # 1->2
r2 <- 0.75 # 2->3
r3 <- 0.5 # 3->1
r4 <- 0.5 # 3-> 2
Q <- matrix(c(-r1, r1, 0, 0, -r2, r2, r3, r4, -(r3+r4)),nrow = 3, byrow = TRUE)
# sample path
path <- sample_path(a=1, b = 3,t0=0, t1=5, Q=Q)
plot(stepfun(x=path[1:(nrow(path)-1),"time"], y = path[,"state"]), xlim = c(0,5), xlab = "Time", ylab = "State", main = "Sample path")
This works fine and I get a graph as an output where I have State on y axis and time on x-axis. However, in this case I have to specify my ending state b. I want to modify this code such that I don't have to specify the ending state and just give a rate matrix, initial distribution and the length of time interval T as an input. But I don't know how to do that. Help would be appreciated.
r markov-chains
r markov-chains
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
edited Dec 20 '18 at 8:11
Rohan Nadagouda
264313
264313
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
asked Nov 20 '18 at 19:25
Shafa HaiderShafa Haider
649
649
add a comment |
add a comment |
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