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EMBEDDED MATRICES FOR FINITE MARKOV CHAINS
Author(s) -
Overdijk D.A.
Publication year - 1984
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1984.tb01117.x
Subject(s) - markov chain , finite state , examples of markov chains , mathematics , matrix (chemical analysis) , state space , continuous time markov chain , chain (unit) , markov kernel , markov chain mixing time , markov process , space (punctuation) , state (computer science) , algebra over a field , markov property , algorithm , computer science , markov model , variable order markov model , pure mathematics , statistics , physics , materials science , astronomy , composite material , operating system
For an arbitrary subset A of the finite state space 5 of a Markov chain the so–called embedded matrix P A 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.