EMBEDDED MATRICES FOR FINITE MARKOV CHAINS

D.A. Overdijk

Statistica Neerlandica, 1984, vol. 38, issue 4, 261-272

Abstract: For an arbitrary subset A of the finite state space 5 of a Markov chain the so–called embedded matrix PA is introduced. By use of these matrices formulas expressing all kinds of probabilities can be written down almost automatically, and calculated very easily on a computer. Also derivations can be given very systematically.

Date: 1984
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