Tensor approach to mixed high-order moments of absorbing Markov chains
Abstract
Moments of absorbing Markov chain are considered. First moments and non-mixed second moments are determined in classical textbooks such as the book of J. Kemeny and J. Snell ``Finite Markov Chains''. The reason is that the first moments and the non-mixed second moments can be easily expressed in a matrix form. Since the representation of mixed moments of higher orders in a matrix form is not straightforward, if ever possible, they were not calculated. The gap is filled by this paper. Tensor approach to the mixed high-order moments is proposed and compact closed-form expressions for the moments are discovered.
Domains
Probability [math.PR]
Origin : Files produced by the author(s)
Loading...