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Suppose we have a Markov chain with two states A and B. This associated transition matrix is:

\begin{equation} P_{mc}= \begin{pmatrix} 0.3 & 0.7\\ 0.6 & 0.4 \end{pmatrix} \end{equation}

This matrix is empirical and computed from a set of observations:

e.g :A->B->A->A->A->B->A->A->B->B->A->B->B->A->B->A->B->A->B->B->B

My question is, After predicting a new state (B or A) how accurate is it to generate a new transition matrix P_mc based on the new sequence and is there any theoretical limits to doing this?

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  • $\begingroup$ I don't quite understand what the new matrix' generation is based on - are you updating the matrix based on a new observation, or the actual prediction? $\endgroup$
    – jkm
    Feb 21, 2020 at 10:57
  • $\begingroup$ The matrix is updated using the actual prediction $\endgroup$
    – nidabdella
    Feb 21, 2020 at 10:59

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If you're using your current predictions to influence the estimation of your future predictions, you get a positive feedback loop and wave goodbye to any real-world distribution.

For example, an initial transition matrix $[[0.99, 0.01], [0.01, 0.99]]$ will asymptotically wind up predicting either only As or only Bs, depending on your start state.

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  • $\begingroup$ I'm not sure I understood what you mean by 'you get a positive feedback loop and wave goodbye to any real-world distribution'. Are you talking about a statistical distribution or parallel computing $\endgroup$
    – nidabdella
    Feb 21, 2020 at 12:46
  • $\begingroup$ Statistical. Your transition matrix will asymptotically collapse to predicting either A->A or A->B with 100% probability regardless of the real-world probability. $\endgroup$
    – jkm
    Feb 21, 2020 at 13:19
  • $\begingroup$ Can you tell me on what basis you concluded this? $\endgroup$
    – nidabdella
    Feb 21, 2020 at 13:31
  • $\begingroup$ Just think through this. Let's take a string ABBBAAAA as our starting point. Empirically, your matrix is entries for A are [.67, .33], let's roll with that. Your predictor peeks at the last A, rolls the dice, and predicts another A 2/3 of the time. Your new matrix is [.80,.20]. You now look at your new A, roll for another A 80% of the time, updating the matrix to [.83, .17], and again for [.86, .14]... Getting an A reinforces the odds of producing an A and vice versa. I didn't normalize the whole matrix for compactness' sake, but the pattern holds. $\endgroup$
    – jkm
    Feb 21, 2020 at 14:22

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