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Q176Section III (Statistics)176 of 190

Two disjoint closed classes give infinitely many stationary distributions

Consider a Markov chain on S={1,2,3,4,5}S=\{1,2,3,4,5\} with transition probability matrix

P=(3/401/4001/2001/201/201/2000002/31/30001/32/3).P=\begin{pmatrix}3/4&0&1/4&0&0\\1/2&0&0&1/2&0\\1/2&0&1/2&0&0\\ 0&0&0&2/3&1/3\\0&0&0&1/3&2/3\end{pmatrix}.

Then:

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