Mean and variance of first passage time in Markov chains with unknown parameters

02/18/2019
by   Carlos Hernandez-Suarez, et al.
0

There are known expressions to calculate the moments of the first passage time in Markov chains. Nevertheless, it is commonly forgotten that in most applications the parameters of the Markov chain are constructed using estimates based upon empirical data and in those cases the data sample size should play an important role in estimating the variance. Here we provide a Monte Carlo approach to estimate the first two moments of the passage time in this situation. We illustrate this method with an example using data from the biological field.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset

Sign in with Google

×

Use your Google Account to sign in to DeepAI

×

Consider DeepAI Pro