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| Meta Title | Markov Chains: Periodicity, Recurrence, and Transience Explained - Course Sidekick |
| Meta Description | Statistics 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 (= |
| Meta Canonical | null |
| Boilerpipe Text | 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
ā„
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
ā„
1, then we let
d
i
= 0 (or
d
i
=
ā
).
ā¢
If
d
i
>
1, we say that state
i
is
periodic
.
In this case,
p
(
kd
i
)
ii
6
= 0 for all
k
ā„
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.
ā¢
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
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Th3.0
. If
i
āā
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
ā
S
p
(
m
)
ik
p
(
n
)
ki
>
0
.
It follows that
m
+
n
=
kd
i
for some
k
ā„
1. Similarly, supposing
p
(
l
)
jj
>
0,
we have
p
(
m
+
n
+
l
)
ii
=
X
k
ā
S
p
(
m
)
ik
p
(
n
+
l
)
ki
ā„
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
ā„
1 is an integer.
Recall that
d
j
=
gcd
{
l
:
p
(
l
)
jj
>
0
}
, we have
d
i
ā¤
d
j
. The same argument shows that
d
j
ā¤
d
i
, i.e.,
d
i
=
d
j
.
32
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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
:
ā¢
If there is a self-transition in the chain (
p
ii
>
0 for some
i
), then the
chain is aperiodic.
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# Markov Chains: Periodicity, Recurrence, and Transience Explained
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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 allnā„1 for whichp(n) ii \>0, i.e., di \= gcd{n:p(n) ii \>0}. Ifp(n) ii \= 0, for allnā„1, then we letdi\= 0 (ordi \=ā). ā¢Ifdi \>1, we say that stateiisperiodic. In this case,p(kdi ) ii 6 \= 0 for allkā„k0, wherek0 \>1 is an integer, and p(n)ii\= 0 whenn6 \=kdi . Note that it happensp(di ) ii \= 0. ā¢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
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Th3.0. Ifiāāj, thendi\=dj . Proof.Supposep(m)ij\>0 andp(n) ji \>0\. Then, by the C-K equation, p(m\+n)ii \=X kāS p(m)ikp(n) ki \>0. It follows thatm\+n\=kdi for somekā„1\. Similarly, supposingp(l) jj \>0, we have p(m\+n\+l)ii\=X kāS p(m)ikp (n\+l) ki ā„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 wherec1ā„1 is an integer.Recall thatdj \=gcd{l:p(l) jj \>0}, we have diā¤dj. The same argument shows thatdjā¤di, i.e.,di\=dj . 32
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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: ā¢If there is a self-transition in the chain (pii \>0 for somei), then the chain is aperiodic.
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| Readable Markdown | 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 allnā„1 for whichp(n) ii \>0, i.e., di \= gcd{n:p(n) ii \>0}. Ifp(n) ii \= 0, for allnā„1, then we letdi\= 0 (ordi \=ā). ā¢Ifdi \>1, we say that stateiisperiodic. In this case,p(kdi ) ii 6 \= 0 for allkā„k0, wherek0 \>1 is an integer, and p(n)ii\= 0 whenn6 \=kdi . Note that it happensp(di ) ii \= 0. ā¢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
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Th3.0. Ifiāāj, thendi\=dj . Proof.Supposep(m)ij\>0 andp(n) ji \>0\. Then, by the C-K equation, p(m\+n)ii \=X kāS p(m)ikp(n) ki \>0. It follows thatm\+n\=kdi for somekā„1\. Similarly, supposingp(l) jj \>0, we have p(m\+n\+l)ii\=X kāS p(m)ikp (n\+l) ki ā„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 wherec1ā„1 is an integer.Recall thatdj \=gcd{l:p(l) jj \>0}, we have diā¤dj. The same argument shows thatdjā¤di, i.e.,di\=dj . 32
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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: ā¢If there is a self-transition in the chain (pii \>0 for somei), then the chain is aperiodic.
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