The Markov Property
The Markov Property
A time series of random variables, X1,X2,X3,…, is said to be a Markov chain if it has the following property: P(Xt=xt|X0=x0,X1=x1,…,Xt−1=xt−1)=P(Xt=xt|Xt−1=xt−1)
Syllabus Aims
- You should be able to write out the definition of the Markov property.
- You should be able to explain why the Markov property ensures that we can represent a Markov chain using a transition graph.
- You should be able to interpret the elements of the transition probability matrix by making reference to the Markov property.
Description and link | Module | Author | ||
| Introductory notes on Markov chains and the Markov property. | SOR3012 | J. F. McCann |
Description and link | Module | Author | ||
| Introduction to the Markov property | SOR3012 | G. Tribello |
Contact Details
School of Mathematics and Physics,
Queen's University Belfast,
Belfast,
BT7 1NN
Email: g.tribello@qub.ac.uk
Website: mywebsite