example_ms_ar_simul_3_states.m

matlab自回归马尔可夫转换模型仿真估计与预测

% Example Script for MS_AR_Simul.m (run it in the same directory - just press f5)

% This script will simulate a 3 states MS autoregressive model with some pre defined parameters
% You can change the coefficients for your own flavor

addpath('m_Files');

clear; 

nr=1000;                    % Number of observations in simulation
advOpt.distrib='Normal';    % Distribution to use ('Normal' or 't' - default = 'Normal')

Coeff.p=[.8 .1 .1 ; ... % Transition Matrix (each collum should sum to 1)
         .1 .8 .1 ; ...
         .1 .1 .8];    

Coeff.C(1,1)= .1;   % Setting up the mean constant at State 1
Coeff.C(1,2)=-.2;   % Setting up the mean constant at State 2
Coeff.C(1,3)=0.05;  % Setting up the mean constant at State 3

Coeff.AR(:,1)=[ .5   .1 -.1];   % Setting up the AR param at State 1 (you can increase/decrease it as wanted)
Coeff.AR(:,2)=[-.15 -.1  .1];   % Setting up the AR param at State 2 (you can increase/decrease it as wanted)   
Coeff.AR(:,3)=[ .15  .3 -.2];   % Setting up the AR param at State 3 (you can increase/decrease it as wanted)   

Coeff.Std(1,1)=.2;  % Setting up the standard deviavion at State 1
Coeff.Std(1,2)=.1;  % Setting up the standard deviavion at State 2
Coeff.Std(1,3)=.05; % Setting up the standard deviavion at State 3

k=length(Coeff.p);      % Number of states simulated (according to Coeff.p)

[Simul_Out]=MS_AR_Sim(nr,Coeff,k,advOpt.distrib); % Simulating the series

rmpath('m_Files');