Estimating mean time to absorption for a markov chain with limited information

Joseph L. Katz and Roger L. Burford

Applied Stochastic Models and Data Analysis, 1988, vol. 4, issue 4, 217-230

Abstract: In many applications of absorbing Markov chains, solution of the problem at hand involves finding the mean time to absorption. Moreover, in almost all real world applications of Markov chains, accurate estimation of the elements of the probability matrix is a major concern. This paper develops a technique that provides close estimates of the mean number of stages before absorption with only the row sums of the transition matrix of transient states.

Date: 1988
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https://doi.org/10.1002/asm.3150040402

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:4:y:1988:i:4:p:217-230

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