MOMENTS OF THE ABSORPTION TIME IN A FINITE MARKOV CHAIN

摘要

If all recurrent states are included in a closed subset EJ = U EJ of states in a finite Markov chain then the probabilitynrepresents the cumulative probability distribution of a random variable TIJ, the number of steps required for a chain which starts in EI to first reach EJ. THe moments of TIJ may be obtained directly as linear functions of the one-step transition probabilities.nBiometrics Unit, Plant Breeding Department, Cornell University.