20.4.25  Generating a random walks

The randmarkov command generates random walks or creates stochastic matrices.

• To generate a random walk, randmarkov takes two arguments:
  • M, a transition matrix for a Markov chain.
  • i₀, an initial state.
  • n, a positive integer.
• randmarkov(M,i₀,n) returns a a random walk (given as a vector) starting at i₀ and taking n random steps, where each step is a transition with probabilities given by M.
• To create a stochastic matrix, randmarkov takes two arguments:
  • v, a vector of length p.
  • i₀, the number of transient states.
• randmatrix(v,i₀) returns a stochastic matrix with p recurrent loops (given by v) and i₀ transient states.

Examples