Tell me more ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Let $(X_n)_{n \geq 0}$ be an absorbing, discrete, time-homogeneous Markov chain defined on a finite state-space, and let $N$ be the associated fundamental matrix.

The fundamental matrix $N$ provides by itself the mean of the time spent by the process in a transient state. The row sum of $N$ gives us the mean time to absorption of the process.

Let $\delta_{i}t$ be an estimation of the mean (continuous) time to move into state $i$. This is a know parameter of the process

It is possible to combine the statistics provided by $N$, that is, the mean sojourn times, and the known parameters $\delta_{i}t$ to compute a continuous-time estimation of the time necessary to absorption?

Ex: Let $i$ be the initial state.

$$T_{\text{abs}} = \sum_{j} N_{ij} \delta_{i}t$$

share|improve this question

Know someone who can answer? Share a link to this question via email, Google+, Twitter, or Facebook.

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.