# Questions tagged [transition-matrix]

A transition matrix is a square matrix used to describe the transitions of a Markov chain.

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### How to make the R code for generating Transition probability matrix from a vector of observation more precise? [closed]

This is my r code for share market close value. I have written code for the increase and decrease values. ...
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### Why does an estimated transition matrix have a positive entry for a non-allowed transition? (MSM package)

I have estimated a Markov model for panel data using the R package msm to calculate the transition matrix between states. This Markov model was estimated using an ...
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### Estimating a transition matrix from irregular time series when time is not of interest

I have a dataset with the following variables: id, representing person id; state_nr, representing the state that someone is in; ...
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### Using Markov Chains to predict market share for prescription drugs

I wish to understand if the approach I am researching holds up to analytical rigor. I am planning to use historical data of 4 prescription drugs to forecast the market share of the same 4 drugs some ...
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### Rankings transition matrix

I have heard of ratings transition matrices in finance, where it is possible to derive the probability of moving from one rating to another in a Markov chain process. If I have N individuals who are ...
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### Transition Matrix for a non-trivial example

So I've just been introduced to Transition Matrices; and I was wondering what one for look like the following example: "Symmetric random walk on the integers" $S$ $=$ $\mathbb{Z}$, $\forall$ ...
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### "Forcing" equal probabilities in the matrix exponential of a Markov intensity matrix

I have an upper-right triangular transition intensity matrix $Q$ for a 7-state Markov model (with states $X_1,X_2,...,X_7$), from which I numerically calculate the matrix exponential to derive a ...
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### How to show that the transition probability is equal to $\overline p_{ij} = \frac{P_{ij}}{\sum_{k\neq i}p_{ik}}$

(No new answers needed) I would like to award @whuber for his good answer with my bounty! Suppose that $(X_n)_{n≥0}$ is Markov$(λ, P)$ but that we only observe the process when it moves to a new ...
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### Rows and columns of the one-step transition probability matrix

I am currently studying the textbook Introduction to Modeling and Analysis of Stochastic Systems, Second Edition, by V. G. Kulkarni. In a section on discrete-time Markov chains, the author introduces ...
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### Singular state transition probability matrix in David Silver's UCL Lesson 2

I'm studying David Silver's second lesson on reinforcement learning: https://www.youtube.com/watch?v=lfHX2hHRMVQ&list=PLqYmG7hTraZDM-OYHWgPebj2MfCFzFObQ&index=2 and the state transition ...
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### Specifying a multi-state model with unobservable terminal state

Suppose there is a multi-state process with three states, listed below and labelled as terminal/non-terminal and observable/unobservable: Initializing: non-terminal observable Active: non-terminal ...
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### Make sense of plotting a transition matrix

I'm studying statistics and I'm trying to understand markov chain topic. I'm using the package "markovchain" in R to obtain the stationary distribution. From this transition matrix $M$: <...
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### Measure the distance between two probability transition matrices

I have a probability transition matrix $P$ that contains some values very close to zero. I want to sparsify this matrix by taking the k largest values for each row and setting the others to zero. For ...
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### Long run proportion of transitions in a Markov chain

Let $S$ be a set of states for a Markov chain and let $S^C$ be the remaining states. Explain the identity $$\sum_{i\in S}\sum_{j\in S^C}\pi_iP_{ij}=\sum_{i\in S^C}\sum_{j\in S}\pi_iP_{ij}$$ I know ...
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### Second order markov tranision probability matrix

I tried to find the second order Markov chain of the following sequence Dat= A A B A B A A A B B A A B I tried it on "Markov chain" package in R. ...