On the use of Cauchy integral formula for the embedding problem of discrete-time Markov chains

Virtue U. Ekhosuehi

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 4, 973-987

Abstract: In manpower planning there is an interesting, practically important and open challenging issue arising from the instances where a transition matrix over a certain short time interval is required but only a transition matrix over a longer time interval may be available. For example, the problem of finding a meaningful p−th root of an observable stochastic matrix within the context of Markov chains. The more general problem is divided into three phases, viz. embeddability, inverse, and identification problems. By exploiting the Cauchy’s integral formula with the integrand defined on the Runnenberg’s heart-shaped region, a new representation for a stochastic matrix that is embeddable is derived. New conditions for embeddability and regularization of stochastic matrices are provided. Examples are presented to illustrate the utility of the Cauchy’s representation formula and its consequences.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2021.1921806 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:52:y:2023:i:4:p:973-987

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2021.1921806

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().