MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes
MRS2IR_SIM(P,PARAM,MODEL,STARTVALUE,KSI_0,T,N) generates N trajectories of a Markov regime-switching (MRS) model with 2 independent regimes: (i) an AR(1) process in the base regime X(t+1)=phi_1*X(t)+c_1+sigma_1*|X(t)|^g_1*N(0,1), (ii) and a Gaussian (MODEL='G'), lognormal ('LN'), Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime. P, PARAM and KSI_0 are the transition matrix, model parameters and probabilities classifying the first observation to one of the regimes, respectively, returned by MRS2IR_EST. STARTVALUE is the starting point for the simulated trajectories and T is the length of the trajectories.
|Requires:||MATLAB (tested on MATLAB ver. 7.9).|
|Date of creation:||03 Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m11005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron)
If references are entirely missing, you can add them using this form.