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Meta TitleMarkov Chains: Periodicity, Recurrence, and Transience Explained - Course Sidekick
Meta DescriptionStatistics document from The University of Sydney, 19 pages, Week 3 Markov chains: Periodicity, recurrence and transience, positive and null recurrences 7 Markov chain: periodicity Consider the Markov chain shown below: There is a periodic pattern in this chain. Indeed, we have (n) p00 = P (Xn = 0 | X0 = 0) 6= 0 (=
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Week 3 Markov chains: Periodicity, recurrence and transience, positive and null recurrences 7 Markov chain: periodicity Consider the Markov chain shown below: There is a periodic pattern in this chain. Indeed, we have p ( n ) 00 = P ( X n = 0 | X 0 = 0) 6 = 0 (= 1) , if n = 3 , 6 , 9 , Ā· Ā· Ā· , p ( n ) 00 = P ( X n = 0 | X 0 = 0) = 0 , if n 6 = 3 , 6 , 9 , Ā· Ā· Ā· . Such a state is called a periodic state with period d 0 = 3. The period of a state i , denoted by d i , is defined as the greatest common divisor (gcd) of all n ≄ 1 for which p ( n ) ii > 0, i.e., d i = gcd { n : p ( n ) ii > 0 } . If p ( n ) ii = 0, for all n ≄ 1, then we let d i = 0 (or d i = āˆž ). • If d i > 1, we say that state i is periodic . In this case, p ( kd i ) ii 6 = 0 for all k ≄ k 0 , where k 0 > 1 is an integer, and p ( n ) ii = 0 when n 6 = kd i . Note that it happens p ( d i ) ii = 0. • If d i = 1, we say that state i is aperiodic . In mathematics, the greatest common divisor (gcd) of two or more in- tegers, which are not all zero, is the largest positive integer that divides each of the integers. For example, the gcd of 8 and 12 is 4. 31 Want to read all 19 pages? Previewing 2 of 19 pages. Upload your study docs or become a member. Th3.0 . If i ←→ j , then d i = d j . Proof. Suppose p ( m ) ij > 0 and p ( n ) ji > 0. Then, by the C-K equation, p ( m + n ) ii = X k ∈ S p ( m ) ik p ( n ) ki > 0 . It follows that m + n = kd i for some k ≄ 1. Similarly, supposing p ( l ) jj > 0, we have p ( m + n + l ) ii = X k ∈ S p ( m ) ik p ( n + l ) ki ≄ p ( m ) ij p ( l ) jj p ( n ) ji > 0 . Hence m + n + l = k 1 d i for some k 1 > k . As a consequence, we have l = ( k 1 - k ) d i = c 1 d i where c 1 ≄ 1 is an integer. Recall that d j = gcd { l : p ( l ) jj > 0 } , we have d i ≤ d j . The same argument shows that d j ≤ d i , i.e., d i = d j . 32 Want to read all 19 pages? Previewing 3 of 19 pages. Upload your study docs or become a member. A class is said to be periodic if its states are periodic. Similarly, a class is said to be aperiodic if its states are aperiodic. Finally, a Markov chain is said to be aperiodic if all of its states are aperiodic. Why is periodicity important? As we will see later, it plays a role when we discuss limiting distributions. It turns out that in a typical problem, we are given an irreducible Markov chain, and we need to check if it is aperiodic. How do we check that a Markov chain is aperiodic? Consider a finite irreducible Markov chain X n , i.e., the MC only has a one class with finite states : • If there is a self-transition in the chain ( p ii > 0 for some i ), then the chain is aperiodic. Want to read all 19 pages? Previewing 4 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 5 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 6 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 7 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 8 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 9 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 10 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 11 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 12 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 13 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 14 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 15 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 16 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 17 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 18 of 19 pages. Upload your study docs or become a member. Want to read all 19 pages? Previewing 19 of 19 pages. Upload your study docs or become a member. End of preview Want to read all 19 pages? Upload your study docs or become a member.
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[![Course Sidekick logo](https://assets.coursehero.com/ssi/51257f3da318b313edde.svg)](https://www.coursesidekick.com/ "coursesidekick") [Documents](https://www.coursesidekick.com/sitemap/documents) [Q\&A](https://www.coursesidekick.com/sitemap/questions) Subjects Study Resources Ask AI Earn free access Log in Join # Markov Chains: Periodicity, Recurrence, and Transience Explained Helpful Unhelpful School [The University of Sydney](https://www.coursesidekick.com/schools/the-university-of-sydney-42)\*\*We aren't endorsed by this school Course STAT 3021 Subject Statistics Date Mar 25, 2023 Pages 19 Uploaded by faisal786khan Download View full document View full document Helpful Unhelpful Download 1. [Home](https://www.coursesidekick.com/)/ 2. [Statistics](https://www.coursesidekick.com/statistics) Students also studied [![Assignment 1 Recoding Data (Spring 2020)-2.docx](https://www.coursesidekick.com/doc-asset/thumb/56605ec9cdcdf7bfbc7baeb3c59378e073f6f41e_180.jpg) Assignment 1 Recoding Data (Spring 2020)-2.docx 6 pages Recoding Data Data Assignment 1 Complete the following mini-projects using the 2016 GSS data. I. Depression in the Past Week Suppose we wanted to understand more about the frequency of depression. The GSS asks respondents how often they have felt depresse 4/20/2023](https://www.coursesidekick.com/statistics/69155) [![STAT2215THQ8F22 (1).pdf](https://www.coursesidekick.com/doc-asset/thumb/3dfed0ea5a79a63d37f4715f146ca5445db14805_180.jpg) STAT2215THQ8F22 (1).pdf 3 pages UNIVERSITY OF CONNECTICUT Statistics Department STAT2215 Take Home Quiz \#8 Fall 2022 Amir A. Kouzehkanani YOU MUST SHOW ALL NECESSARY WORK Name (print): Victor Han Lec. Sec. \#: 002 An economist wanted to analyze the relationship between the speed of a car 4/21/2023](https://www.coursesidekick.com/statistics/69292) [![Descriptive Statistics.ppt](https://www.coursesidekick.com/doc-asset/thumb/e0f8dd491656b988776831216ac2ffdceef9d75a_180.jpg) Descriptive Statistics.ppt 19 pages Populations vs. Samples • We want to describe both samples and populations. • The latter is a matter of inference. "Outliers" • Minority cases, so different from the majority that they merit separate consideration - Are they errors? - Are they indicative 4/21/2023](https://www.coursesidekick.com/statistics/69300) [![SolutionPrac2.pdf](https://www.coursesidekick.com/doc-asset/thumb/55043927d450be65d95d08adfcb775009469b9b0_180.jpg) SolutionPrac2.pdf 2 pages STAT651 Solution to Practice Exam 2 Spring 2023 1. Multiple Choice Questions A. (c) The p-value \< 0.05, but we do not know if it is less or greater than 0.01. B. 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By comparing the function plots a 4/21/2023](https://www.coursesidekick.com/statistics/69430) Week 3 Markov chains:Periodicity, recurrence and transience, positive and null recurrences 7Markov chain: periodicity Consider the Markov chain shown below: There is a periodic pattern in this chain. Indeed, we have p(n) 00 \=P(Xn\= 0\|X0 \= 0)6 \= 0 (= 1),ifn\= 3,6,9,Ā· Ā· Ā·, p(n) 00 \=P(Xn\= 0\|X0 \= 0) = 0,ifn6 \= 3,6,9,Ā· Ā· Ā·. Such a state is called aperiodicstate with periodd0\= 3. Theperiodof a statei, denoted bydi , is defined as the greatest common divisor (gcd) of alln≄1 for whichp(n) ii \>0, i.e., di \= gcd{n:p(n) ii \>0}. Ifp(n) ii \= 0, for alln≄1, then we letdi\= 0 (ordi \=āˆž). •Ifdi \>1, we say that stateiisperiodic. In this case,p(kdi ) ii 6 \= 0 for allk≄k0, wherek0 \>1 is an integer, and p(n)ii\= 0 whenn6 \=kdi . Note that it happensp(di ) ii \= 0. •Ifdi \= 1, we say that stateiisaperiodic. In mathematics, the greatest common divisor (gcd) of two or more in- tegers, which are not all zero, is the largest positive integer that divides each of the integers. For example, the gcd of 8 and 12 is 4. 31 ## Want to read all 19 pages? **Previewing 2 of 19 pages.** Upload your study docs or become a member. View full document Th3.0. Ifi←→j, thendi\=dj . Proof.Supposep(m)ij\>0 andp(n) ji \>0\. Then, by the C-K equation, p(m\+n)ii \=X k∈S p(m)ikp(n) ki \>0. It follows thatm\+n\=kdi for somek≄1\. Similarly, supposingp(l) jj \>0, we have p(m\+n\+l)ii\=X k∈S p(m)ikp (n\+l) ki ≄p(m)ijp(l)jjp(n) ji \>0. Hencem\+n\+l\=k1difor somek1 \> k. As a consequence, we have l\= (k1\-k)di\=c1d i wherec1≄1 is an integer.Recall thatdj \=gcd{l:p(l) jj \>0}, we have di≤dj. The same argument shows thatdj≤di, i.e.,di\=dj . 32 ## Want to read all 19 pages? **Previewing 3 of 19 pages.** Upload your study docs or become a member. View full document A class is said to beperiodicif its states are periodic.Similarly, a classis said to be aperiodic if its states are aperiodic. Finally, aMarkov chainis said to beaperiodicif all of its states are aperiodic. Why is periodicity important? As we will see later, it plays a role when we discuss limiting distributions. It turns out that in a typical problem, we are given an irreducible Markov chain, and we need to check if it is aperiodic. How do we check that a Markov chain is aperiodic? Consider afinite irreducible Markov chainXn , i.e., the MC only has a one class with finite states: •If there is a self-transition in the chain (pii \>0 for somei), then the chain is aperiodic. ## Want to read all 19 pages? **Previewing 4 of 19 pages.** Upload your study docs or become a member. View full document ## Want to read all 19 pages? **Previewing 5 of 19 pages.** Upload your study docs or become a member. 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Week 3 Markov chains:Periodicity, recurrence and transience, positive and null recurrences 7Markov chain: periodicity Consider the Markov chain shown below: There is a periodic pattern in this chain. Indeed, we have p(n) 00 \=P(Xn\= 0\|X0 \= 0)6 \= 0 (= 1),ifn\= 3,6,9,Ā· Ā· Ā·, p(n) 00 \=P(Xn\= 0\|X0 \= 0) = 0,ifn6 \= 3,6,9,Ā· Ā· Ā·. Such a state is called aperiodicstate with periodd0\= 3. Theperiodof a statei, denoted bydi , is defined as the greatest common divisor (gcd) of alln≄1 for whichp(n) ii \>0, i.e., di \= gcd{n:p(n) ii \>0}. Ifp(n) ii \= 0, for alln≄1, then we letdi\= 0 (ordi \=āˆž). •Ifdi \>1, we say that stateiisperiodic. In this case,p(kdi ) ii 6 \= 0 for allk≄k0, wherek0 \>1 is an integer, and p(n)ii\= 0 whenn6 \=kdi . Note that it happensp(di ) ii \= 0. •Ifdi \= 1, we say that stateiisaperiodic. In mathematics, the greatest common divisor (gcd) of two or more in- tegers, which are not all zero, is the largest positive integer that divides each of the integers. For example, the gcd of 8 and 12 is 4. 31 ## Want to read all 19 pages? **Previewing 2 of 19 pages.** Upload your study docs or become a member. Th3.0. Ifi←→j, thendi\=dj . Proof.Supposep(m)ij\>0 andp(n) ji \>0\. Then, by the C-K equation, p(m\+n)ii \=X k∈S p(m)ikp(n) ki \>0. It follows thatm\+n\=kdi for somek≄1\. Similarly, supposingp(l) jj \>0, we have p(m\+n\+l)ii\=X k∈S p(m)ikp (n\+l) ki ≄p(m)ijp(l)jjp(n) ji \>0. Hencem\+n\+l\=k1difor somek1 \> k. As a consequence, we have l\= (k1\-k)di\=c1d i wherec1≄1 is an integer.Recall thatdj \=gcd{l:p(l) jj \>0}, we have di≤dj. The same argument shows thatdj≤di, i.e.,di\=dj . 32 ## Want to read all 19 pages? **Previewing 3 of 19 pages.** Upload your study docs or become a member. A class is said to beperiodicif its states are periodic.Similarly, a classis said to be aperiodic if its states are aperiodic. Finally, aMarkov chainis said to beaperiodicif all of its states are aperiodic. Why is periodicity important? As we will see later, it plays a role when we discuss limiting distributions. It turns out that in a typical problem, we are given an irreducible Markov chain, and we need to check if it is aperiodic. How do we check that a Markov chain is aperiodic? Consider afinite irreducible Markov chainXn , i.e., the MC only has a one class with finite states: •If there is a self-transition in the chain (pii \>0 for somei), then the chain is aperiodic. ## Want to read all 19 pages? **Previewing 4 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 5 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 6 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 7 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 8 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 9 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 10 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 11 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 12 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 13 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 14 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 15 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 16 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 17 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 18 of 19 pages.** Upload your study docs or become a member. ## Want to read all 19 pages? **Previewing 19 of 19 pages.** Upload your study docs or become a member. ## End of preview **Want to read all 19 pages?** Upload your study docs or become a member.
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