PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
PS2R_SIM(P,PARAM,STARTVALUE,KSI_0,T,N) generates N trajectories of a 2-regime parameter switching (PS) model, i.e. a 2-regime Markov regime-switching (MRS) model with both regimes driven by AR(1) processes of the form: X(t+1)=phi_i*X(t)+c_i+sigma_i*|X(t)|^g_i*N(0,1). 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 PS2R_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: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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