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Spectral Analysis, without Eigenvectors, for Markov Chains

Published online by Cambridge University Press:  27 July 2009

Mark Brown
Mark Brown
Affiliation:
The City College, CUNY New York, New York 10031
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Abstract

The Lagrange-Sylvester interpolation polynomial approach provides a simple, eigenvector-free representation for finite diagonalizable matrices. This paper discusses the Lagrange-Sylvester methodology and applies it to skip free to the right Markov chains. It leads to relatively simple, eigenvalue-based expressions for first passage time distributions and transition probabilities.

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Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 5 , Issue 2 , April 1991 , pp. 131 - 144
Copyright
Copyright © Cambridge University Press 1991

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