JSTOR Daily

The Eigenvalues of the Empirical Transition Matrix of a Markov Chain

Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...
JSTOR Daily

An Efficient Procedure for Computing Quasi-Stationary Distributions of Markov Chains with Sparse Transition Structure

We describe a computational procedure for evaluating the quasi-stationary distributions of a continuous-time Markov chain. Our method, which is an 'iterative version' of Arnoldi's algorithm, is ...
International Monetary Fund

Estimating Markov Transition Matrices Using Proportions Data: An Application to Credit Risk

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...
GIGAZINE

A video showing how miraculous the probability of 'shikanokokonokoshitantan' appearing in a Markov chain is

A Markov chain is a sequence of random variables that satisfies P(X t+1 ∣X t ,X t−1 ,…,X 1 )=P(X t+1 ∣X t ). Simply put, it is a sequence in which X t+1 depends only on X t and appears before X t−1 ...
PBS

Can a Chess Piece Explain Markov Chains?

In this episode probability mathematics and chess collide. In this episode probability mathematics and chess collide. What is the average number of steps it would take before a randomly moving knight ...