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The variance of duration of stay in an absorbing Markov process
Published online by Cambridge University Press: 14 July 2016
Abstract
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.
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- Copyright © Applied Probability Trust 1978
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