Taboo rate and hitting time distribution of continuous-time reversible Markov chains
| Autor: | Xuyan Xiang, Yingchun Deng, Xiangqun Yang, Haiqin Fu, Jieming Zhou |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Markov chain Distribution (number theory) media_common.quotation_subject 010102 general mathematics Taboo Hitting time State (functional analysis) Transition rate matrix 01 natural sciences Birth–death process 010104 statistics & probability Chain (algebraic topology) Statistical physics 0101 mathematics Statistics Probability and Uncertainty media_common Mathematics |
| Zdroj: | Statistics & Probability Letters. 169:108969 |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/j.spl.2020.108969 |
| Popis: | The taboo rate is first defined, which satisfies with the Chapman–Kolmogorov equation. Then the differentials of hitting time distribution are expressed by many different taboo rates, which deeply reveal the intrinsic relationship between the transition rate matrix and the hitting time distribution in continuous-time reversible Markov chains. As an example, the explicit expressions of the differentials of the hitting time distribution at a single state are provided for the birth and death chain, hence the transition rate matrix can be identified. Such differentials improve the theory of statistical identification of continuous-time reversible Markov chains. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect