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Results tagged with transition-matrix
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user 173082
A transition matrix is a square matrix used to describe the transitions of a Markov chain.
1
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Finding One Step Transition Matrix in Gambling?
We can generalise your problem by allowing any $y \in \mathbb{N}$ and assuming discrete states $x = 0,1,2...,y$. Assuming that gamble outcomes are independent with fixed win-probability $0 < \theta < …
- 133k
0
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Markov chain: inferring transition rates from equilibrium
If you have a Markov chain with transition probability matrix $\mathbf{P}$ then any stationary distribution $\pi$ for that chain is a unit eigenvector of $\mathbf{P}$ with corresponding eigenvalue of …
- 133k
4
votes
How could I estimate a transition probability matrix that varies over time?
If the transition probability matrix varies over time then your stochastic process is not a Markov chain (i.e., it does not obey the Markov property). In order to estimate transition probabilities at …
- 133k
2
votes
How to understand the definition of Markov Chain $P(X_{n+1}\in B\mid \mathcal{F}_n)=p(X_n,B)$?
As pointed out in the comments, Durrett's definition is a general definition of the Markov property in an underlying discrete-time stochastic process, whereas the definition you have given is a type o …
- 133k