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acarril/fTransitionMatrix.jl

Created June 7, 2020 20:02
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fTransitionMatrix.jl
# Compute transition matrix based on a distribution
using LinearAlgebra, Distributions
function fTransitionMatrix(grid; dist = LogNormal())
N = size(grid)[1]
Mat = UpperTriangular(transpose(repeat(grid, outer=[1, N])) .- grid)
prMat = cdf.(dist, Mat)
trMat = hcat(prMat[:, 2:end], ones(N)) .- prMat
end
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