The variance of duration of stay in an absorbing Markov process
Keyword(s):
Given a stationary Markov process with s transient states and r absorbing states, a matrix infinite series solution is presented for the variance of duration of stay in state j within the interval [0, t), given initial state i. Closed forms are derived for absorbing states, and for transient states if eigenvalues are real and distinct. Several relationships among Markov matrices are presented.
Keyword(s):
2002 ◽
Vol 4
(10)
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pp. 803-807
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1987 ◽
Vol 1
(4)
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pp. 367-381
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Keyword(s):
1974 ◽
Vol 11
(01)
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pp. 193-198
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1975 ◽
Vol 12
(03)
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pp. 574-580
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1986 ◽
Vol 38
(2)
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pp. 397-415
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