Project link: github.com/Clpr/MultivariateMarkovChains.jl
This package provides flexible API to define, approximate, manupulate, estimate and simulate multivariate (vector-valued) finite state Markov chains in discrete time. Some popular algorithms are also implemented such as Tauchen (1985) and Young (2010) non-stochastic simulation methods. It is super helpful in the parameterization of dynamic macroeconomic models as well as other generic numerical applications of stochastic analysis.
To learn more about the functionalities and usage, check the project on GitHub.
This package has not been registered at Julia’s general registry yet. To install it, run:
pkg> add "https://github.com/Clpr/MultivariateMarkovChains.jl.git"
In the future, one may run:
pkg> add MultivariateMarkovChains