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3
votes
0
answers
2k
views
Closed-form solution to a system of linear equations
Consider the following $n \times n$ matrix with a particularly nice structure:
\begin{equation}\mathbf{P}=\begin{pmatrix}
0 & 0& \dots&0 & 0 &1\\
0 & 0& \dots&0 & \frac{1}{2}&\frac{1}{2}\\
\vdots& & …
14
votes
4
answers
2k
views
Eigenvectors of a particular transition matrix
I am considering a Markov chain with $n$ states with a particularly nice structure. The transition matrix is as follows:
\begin{equation}\mathbf{P}=\begin{pmatrix}
0 & 0& \dots&0 & 0 &1\\
0 & 0& \dot …
2
votes
0
answers
199
views
CLT for a Markov Renewal Process
Suppose $(X,T)=\{(X_n,T_n)\}_{n\geq0}$ is a Markov renewal process, where $X$ is a finite-state, discrete-time Markov chain with state space $\{1,2,...,R\}$. $T$ is the additive component, more precis …