CMCSimulation function

A function to simulate a continuous time Markov chain.

This function simulates a continuous time finite state space Markov chain with known rate matrix Q, state space 0,1,..,n and initial state i for the time period (0,T). If plotflag is TRUE it also produces a plot.

CMCSimulation(Q,i,Tend,plotflag = FALSE)

Arguments

• Q: the rate matrix.
• i: the initial state.
• Tend: the end of the simulation period (0,T).
• plotflag: flag indicating if plot needed

Details

We assume that Q is well defined rate matrix.

Returns

Returns the matrix (statehist,timehist) containing the realisation of the chain for the specified period. The function also produces a plot of the realisation. \

References

Jones, O.D., R. Maillardet, and A.P. Robinson. 2009. An Introduction to Scientific Programming and Simulation, Using R. Chapman And Hall/CRC.

See Also

MCSimulation

Examples

Q <- matrix(c(-24,24,0, 2,-14,12, 0,4,-4), 
            nrow = 3, ncol = 3, byrow = TRUE)
CMCSimulation(Q,0,1)