Open AccessComputational Discrete Time Markov Chain with Correlated Transition Probabilities
Author(s) -
Peerayuth Charnsethikul
Publication year - 2006
Publication title -
journal of mathematics and statistics
Language(s) - English
Resource type - Journals
eISSN - 1558-6359
pISSN - 1549-3644
DOI - 10.3844/jmssp.2006.457.459
Subject(s) - mathematics , markov chain , markov chain mixing time , additive markov chain , discrete time and continuous time , transition (genetics) , continuous time markov chain , statistical physics , markov model , variable order markov model , markov property , chain (unit) , econometrics , statistics , physics , astronomy , biochemistry , chemistry , gene
This study presents a computational procedure for analyzing statistics of steady state probabilities in a discrete time Markov chain with correlations among their transition probabilities. The proposed model simply uses the first order Taylor's series expansion and statistical expected value properties to obtain the resulting linear matrix equations system. Computationally, the bottleneck is O(n4) but can be improved by distributed and parallel processing. A preliminary computational experience is reported