Exercises
- We have a three-state second-order discrete Markov process whose states are labeled 1, 2, and 3. The transition probability matrix is given (in non-square form) in Table 11.1. The rows represent the two preceding “from” states of each transition type, while the columns represent the “to” state of each transition type. The transition probability matrix is in the same form illustrated in Figure 11.2.
We want to generate a sequence of state values,
, of length 
. Starting the sequence with 
, use the transition probability matrix to sample the remaining 198 state values in the sequence:
|
k=1 |
k=2 |
k=3 |
|
|
i=1, j=1 |
0.27 |
0.33 |
0.40 |
|
i=1, j=2 |
0.12 |
0.67 |
0... |
