MATLAB: How to generate 100 sample points of a 3-state Markov chain with initial prob vector and transition probability matrix using inverse transform method on matlab.

markovchainMATLAB

P   = [0.3 0.1 0.1; 0.3 0.9 0.1; 0.4 0 0.8]; % Transition Matrix
P0  = [0.1 0.9 0]; %initial probability Vector
Then I dont know how to do the rest. Please help me.

Best Answer

Here's a start:
   P = [0.3 0.1 0.1; 0.3 0.9 0.1; 0.4 0 0.8]; % Transition Matrix 
   P0 = [0.1 0.9 0]; %initial probability Vector
   C0 = cumsum(P0);
   M = length(P0);
   N = 100;
   x = nan(N,1);
   x(1) = (M + 1) - sum(rand <= C0);
   for k = 2:N
       x(k) = ...
   end
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