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Q121Section III (Statistics)121 of 180

Markov chain simulation — inverting the cumulative row

Suppose {Xn,n≥0}\{X_n,n\ge0\} is a Markov chain with state space S={1,2,3}S=\{1,2,3\} and transition probability matrix

P=(2/53/503/85/801/61/31/2).P=\begin{pmatrix}2/5&3/5&0\\3/8&5/8&0\\1/6&1/3&1/2\end{pmatrix}.

Suppose X0=3X_0=3. Then realized values of X1X_1 and X2X_2 corresponding to random numbers 0.360.36 and 0.640.64 respectively, from U(0,1)U(0,1) distribution are:

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