Marginal Distribution of Stationary Markov Chain
Computes the marginal distribution of a stationary Markov chain with transition probability matrix Pi. The m discrete states of the Markov chain are denoted by 1, ..., m.
compdelta(Pi)
Pi |
is the m*m transition probability matrix of the Markov chain. |
If the Markov chain is stationary, then the marginal distribution delta satisfies
delta = delta Pi.
Obviously,
sum_j^m delta_j = 1.
A numeric vector of length m containing the marginal probabilities.
Pi <- matrix(c(1/2, 1/2, 0, 0, 0,
1/3, 1/3, 1/3, 0, 0,
0, 1/3, 1/3, 1/3, 0,
0, 0, 1/3, 1/3, 1/3,
0, 0, 0, 1/2, 1/2),
byrow=TRUE, nrow=5)
print(compdelta(Pi))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.