1. (a) Consider a discrete-time Markov chain X = {X₂ : n = N} with a transition matrix 0 2/3 1/3 M = 1/3 0 2/3 1/4 3/4 0 (1) i. Draw the transition diagram of X. ii. Is the Markov chain irreducible and positive recurrent? Justify your arguments. iii. Determine the stationary distribution л of X from the equation лM = π. (b) Let X = {X: t≥ 0} be a time-homogeneous Markov process with state-space $ = {1, 2, 3}. The average time X spends in each state 1, 2 and 3 is given respectively by 1/6, 1/2 and 1/3 unit of time. The probability P(XT j|X₁ = i) of making an immediate jump from state i to state j, with (i, j) = S, is given by the matrix M (1) in the question 1(a) above. Note that T refers to the jump time of the Markov process. = i. Find the corresponding intensity matrix Q of the Markov process. ii. Find the average time it takes the process to move from states 1 and 2 to state 3.
1. (a) Consider a discrete-time Markov chain X = {X₂ : n = N} with a transition matrix 0 2/3 1/3 M = 1/3 0 2/3 1/4 3/4 0 (1) i. Draw the transition diagram of X. ii. Is the Markov chain irreducible and positive recurrent? Justify your arguments. iii. Determine the stationary distribution л of X from the equation лM = π. (b) Let X = {X: t≥ 0} be a time-homogeneous Markov process with state-space $ = {1, 2, 3}. The average time X spends in each state 1, 2 and 3 is given respectively by 1/6, 1/2 and 1/3 unit of time. The probability P(XT j|X₁ = i) of making an immediate jump from state i to state j, with (i, j) = S, is given by the matrix M (1) in the question 1(a) above. Note that T refers to the jump time of the Markov process. = i. Find the corresponding intensity matrix Q of the Markov process. ii. Find the average time it takes the process to move from states 1 and 2 to state 3.
Elementary Linear Algebra (MindTap Course List)
8th Edition
ISBN:9781305658004
Author:Ron Larson
Publisher:Ron Larson
Chapter2: Matrices
Section2.5: Markov Chain
Problem 47E: Explain how you can determine the steady state matrix X of an absorbing Markov chain by inspection.
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