{ X n } is an irreducible discrete-time Markov chain, with state space S, transition matrix P
Fantastic news! We've Found the answer you've been seeking!
Question:
{Xn } is an irreducible discrete-time Markov chain, with state space S, transition matrix P
{Yn } is an irreducible discrete-time Markov chain, with state space S, transition matrix M such at at each step Yn will follow P at probability pi and stay with probability 1-pi . (Mij=piPij, Mii=piPii+1pi ) where 0<pi<1.
If Xn is positive recurrent/has a stationary distribution. Is Yn the same?
Expert Answer:
Posted Date:
