Let X be a Markov chain on S, and let I: S" {0, 1}. Show that the distribution ofXn, Xn+1,..., conditional on {I (X₁,..., Xn) = 1} n {Xn = i}, is identical to the distributionof Xn, Xn+1,... conditional on {Xn = i}.

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Answered: Let X be a Markov chain on S, and let I…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Let X be a Markov chain on S, and let I S" (0, 1). Show that the distribution of i}, is identical to the distribution 1} n {Xn Xn, Xn+1,..., conditional on {I (X₁,..., Xn) of Xn, Xn+1,... conditional on {Xn = i}. = =