Markov Chain (example codes)
Simulation of Markov Chain The following code excerpts are from julia.quantecon.org. I added explanations to each line of codes. function mc_sample_path(P; init=1, sample_size=1000) # transition matrix, P, should be a square matrix @assert size(P)[1] == size(P)[2] # N be the number of rows of P matrix (or the number of initial states) N = size(P)[1] # dists be the state transition probabilities for each initial state; for example dists[1] will be state-transition probabilities of state 1 transitioning to state 1 and 2 respectively dists = [Categorical(P[i, :]) for i in 1:N] # create X that stores samples X = fill(0, sample_size) # put init as the first element of X X[1] = init # loop over from 2 to the `sample_size` that draws randomly of states (either 1 or 2) by the last state's transition distribution for t in 2:sample_size dist=dists[X[t-1]] X[t]=rand(dist) end return X end P=[0....