R library for discrete Markov chain simulation

Question

I am looking for something like the \'msm\' package, but for discrete Markov chains. For example, if I had a transition matrix defined as such

Pi <- matrix         


        

Answer 1

A while back I wrote a set of functions for simulation and estimation of Discrete Markov Chain probability matrices: http://www.feferraz.net/files/lista/DTMC.R.

Relevant code for what you're asking:

simula <- function(trans,N) {
        transita <- function(char,trans) {
                sample(colnames(trans),1,prob=trans[char,])
        }

 sim <- character(N)
 sim[1] <- sample(colnames(trans),1)
 for (i in 2:N) {
  sim[i] <- transita(sim[i-1],trans)
 }

 sim
}

#example
#Obs: works for N >= 2 only. For higher order matrices just define an
#appropriate mattrans
mattrans <- matrix(c(0.97,0.03,0.01,0.99),ncol=2,byrow=TRUE)
colnames(mattrans) <- c('0','1')
row.names(mattrans) <- c('0','1')
instancia <- simula(mattrans,255) # simulates 255 steps in the process