Variance of positively recurrent Markov chain hitting time












2












$begingroup$



Consider the following Markov chain:
enter image description here
How to compute the variance of $T_{1,0}$ the time to get from state $1$ to state $0$?




Now I can get the stationary distribution $pi_i=frac{1}{3}(frac{2}{3})^i$. Thus we know the the time to get from state k to state k is $m_{kk}=frac{1}{pi_k}$.



Also from $m_{0,0}=0.6*m_{0,0}+0.4*(1+m_{1,0})$ we can get $E[T_{1,0}]$.



I think it can be solve using $Var[X]=E[X^2]-(E[X])^2$ but how to get $E[T_{1,0}^2]$?










share|cite|improve this question











$endgroup$

















    2












    $begingroup$



    Consider the following Markov chain:
    enter image description here
    How to compute the variance of $T_{1,0}$ the time to get from state $1$ to state $0$?




    Now I can get the stationary distribution $pi_i=frac{1}{3}(frac{2}{3})^i$. Thus we know the the time to get from state k to state k is $m_{kk}=frac{1}{pi_k}$.



    Also from $m_{0,0}=0.6*m_{0,0}+0.4*(1+m_{1,0})$ we can get $E[T_{1,0}]$.



    I think it can be solve using $Var[X]=E[X^2]-(E[X])^2$ but how to get $E[T_{1,0}^2]$?










    share|cite|improve this question











    $endgroup$















      2












      2








      2





      $begingroup$



      Consider the following Markov chain:
      enter image description here
      How to compute the variance of $T_{1,0}$ the time to get from state $1$ to state $0$?




      Now I can get the stationary distribution $pi_i=frac{1}{3}(frac{2}{3})^i$. Thus we know the the time to get from state k to state k is $m_{kk}=frac{1}{pi_k}$.



      Also from $m_{0,0}=0.6*m_{0,0}+0.4*(1+m_{1,0})$ we can get $E[T_{1,0}]$.



      I think it can be solve using $Var[X]=E[X^2]-(E[X])^2$ but how to get $E[T_{1,0}^2]$?










      share|cite|improve this question











      $endgroup$





      Consider the following Markov chain:
      enter image description here
      How to compute the variance of $T_{1,0}$ the time to get from state $1$ to state $0$?




      Now I can get the stationary distribution $pi_i=frac{1}{3}(frac{2}{3})^i$. Thus we know the the time to get from state k to state k is $m_{kk}=frac{1}{pi_k}$.



      Also from $m_{0,0}=0.6*m_{0,0}+0.4*(1+m_{1,0})$ we can get $E[T_{1,0}]$.



      I think it can be solve using $Var[X]=E[X^2]-(E[X])^2$ but how to get $E[T_{1,0}^2]$?







      probability-theory stochastic-processes markov-chains






      share|cite|improve this question















      share|cite|improve this question













      share|cite|improve this question




      share|cite|improve this question








      edited Oct 15 '17 at 19:42









      Did

      247k23223459




      247k23223459










      asked Oct 15 '17 at 4:19









      helenhelen

      111




      111






















          1 Answer
          1






          active

          oldest

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          2












          $begingroup$


          (2017-10-24) Amusing downvote, purely for mathematical reasons, I am sure...




          To reach the higher moments of $T_{1,0}$, one can use the Markov property of the chain after one step, which translates into the identity in distribution $$T_{1,0}=1+Bcdot(T_{2,1}+T'_{1,0})$$ where $B$ is Bernoulli with $P(B=1)=b$ and $P(B=0)=1-b$ for $b=.4$, and $T'_{1,0}$ is distributed like $T_{1,0}$ and independent of $T_{2,1}$.



          Since $T_{2,1}$ is also distributed like $T_{1,0}$, one is after the solution of the identity




          $$Tstackrel d=1+Bcdot(T+T')tag{$ast$}$$




          This allows to recover the first moment $E(T_{1,0})$ since $(ast)$ implies $$E(T)=1+2bcdot E(T)$$ hence, using $b<frac12$, $$E(T)=frac1{1-2b}$$ but also the second moment since $(ast)$ also implies $$E(T^2)=1+4bcdot E(T)+bcdot(2E(T^2)+2E(T))$$ hence, using again $b<frac12$, $$E(T^2)=frac{1+6bcdot E(T)}{1-2b}=frac{1+4b}{(1-2b)^2}$$ and finally,




          $$mathrm{var}(T)=frac{4b}{(1-2b)^2}$$




          Note that, more generally, turning to generating functions rather than moments, $(ast)$ would allow to reach distributions since, for every $s$ in $[0,1]$, $$E(s^T)=scdot(1-b+bcdot E(s^T)^2)$$ hence




          $$E(s^T)=frac{1-sqrt{1-4b(1-b)s^2}}{2bs}$$




          from which the full distribution of $T_{1,0}$ follows.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
            $endgroup$
            – helen
            Oct 15 '17 at 20:30










          • $begingroup$
            Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:01










          • $begingroup$
            @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:07










          • $begingroup$
            @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
            $endgroup$
            – Did
            Oct 16 '17 at 7:37










          • $begingroup$
            @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
            $endgroup$
            – Did
            Oct 16 '17 at 7:39











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          1 Answer
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          2












          $begingroup$


          (2017-10-24) Amusing downvote, purely for mathematical reasons, I am sure...




          To reach the higher moments of $T_{1,0}$, one can use the Markov property of the chain after one step, which translates into the identity in distribution $$T_{1,0}=1+Bcdot(T_{2,1}+T'_{1,0})$$ where $B$ is Bernoulli with $P(B=1)=b$ and $P(B=0)=1-b$ for $b=.4$, and $T'_{1,0}$ is distributed like $T_{1,0}$ and independent of $T_{2,1}$.



          Since $T_{2,1}$ is also distributed like $T_{1,0}$, one is after the solution of the identity




          $$Tstackrel d=1+Bcdot(T+T')tag{$ast$}$$




          This allows to recover the first moment $E(T_{1,0})$ since $(ast)$ implies $$E(T)=1+2bcdot E(T)$$ hence, using $b<frac12$, $$E(T)=frac1{1-2b}$$ but also the second moment since $(ast)$ also implies $$E(T^2)=1+4bcdot E(T)+bcdot(2E(T^2)+2E(T))$$ hence, using again $b<frac12$, $$E(T^2)=frac{1+6bcdot E(T)}{1-2b}=frac{1+4b}{(1-2b)^2}$$ and finally,




          $$mathrm{var}(T)=frac{4b}{(1-2b)^2}$$




          Note that, more generally, turning to generating functions rather than moments, $(ast)$ would allow to reach distributions since, for every $s$ in $[0,1]$, $$E(s^T)=scdot(1-b+bcdot E(s^T)^2)$$ hence




          $$E(s^T)=frac{1-sqrt{1-4b(1-b)s^2}}{2bs}$$




          from which the full distribution of $T_{1,0}$ follows.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
            $endgroup$
            – helen
            Oct 15 '17 at 20:30










          • $begingroup$
            Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:01










          • $begingroup$
            @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:07










          • $begingroup$
            @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
            $endgroup$
            – Did
            Oct 16 '17 at 7:37










          • $begingroup$
            @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
            $endgroup$
            – Did
            Oct 16 '17 at 7:39
















          2












          $begingroup$


          (2017-10-24) Amusing downvote, purely for mathematical reasons, I am sure...




          To reach the higher moments of $T_{1,0}$, one can use the Markov property of the chain after one step, which translates into the identity in distribution $$T_{1,0}=1+Bcdot(T_{2,1}+T'_{1,0})$$ where $B$ is Bernoulli with $P(B=1)=b$ and $P(B=0)=1-b$ for $b=.4$, and $T'_{1,0}$ is distributed like $T_{1,0}$ and independent of $T_{2,1}$.



          Since $T_{2,1}$ is also distributed like $T_{1,0}$, one is after the solution of the identity




          $$Tstackrel d=1+Bcdot(T+T')tag{$ast$}$$




          This allows to recover the first moment $E(T_{1,0})$ since $(ast)$ implies $$E(T)=1+2bcdot E(T)$$ hence, using $b<frac12$, $$E(T)=frac1{1-2b}$$ but also the second moment since $(ast)$ also implies $$E(T^2)=1+4bcdot E(T)+bcdot(2E(T^2)+2E(T))$$ hence, using again $b<frac12$, $$E(T^2)=frac{1+6bcdot E(T)}{1-2b}=frac{1+4b}{(1-2b)^2}$$ and finally,




          $$mathrm{var}(T)=frac{4b}{(1-2b)^2}$$




          Note that, more generally, turning to generating functions rather than moments, $(ast)$ would allow to reach distributions since, for every $s$ in $[0,1]$, $$E(s^T)=scdot(1-b+bcdot E(s^T)^2)$$ hence




          $$E(s^T)=frac{1-sqrt{1-4b(1-b)s^2}}{2bs}$$




          from which the full distribution of $T_{1,0}$ follows.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
            $endgroup$
            – helen
            Oct 15 '17 at 20:30










          • $begingroup$
            Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:01










          • $begingroup$
            @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:07










          • $begingroup$
            @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
            $endgroup$
            – Did
            Oct 16 '17 at 7:37










          • $begingroup$
            @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
            $endgroup$
            – Did
            Oct 16 '17 at 7:39














          2












          2








          2





          $begingroup$


          (2017-10-24) Amusing downvote, purely for mathematical reasons, I am sure...




          To reach the higher moments of $T_{1,0}$, one can use the Markov property of the chain after one step, which translates into the identity in distribution $$T_{1,0}=1+Bcdot(T_{2,1}+T'_{1,0})$$ where $B$ is Bernoulli with $P(B=1)=b$ and $P(B=0)=1-b$ for $b=.4$, and $T'_{1,0}$ is distributed like $T_{1,0}$ and independent of $T_{2,1}$.



          Since $T_{2,1}$ is also distributed like $T_{1,0}$, one is after the solution of the identity




          $$Tstackrel d=1+Bcdot(T+T')tag{$ast$}$$




          This allows to recover the first moment $E(T_{1,0})$ since $(ast)$ implies $$E(T)=1+2bcdot E(T)$$ hence, using $b<frac12$, $$E(T)=frac1{1-2b}$$ but also the second moment since $(ast)$ also implies $$E(T^2)=1+4bcdot E(T)+bcdot(2E(T^2)+2E(T))$$ hence, using again $b<frac12$, $$E(T^2)=frac{1+6bcdot E(T)}{1-2b}=frac{1+4b}{(1-2b)^2}$$ and finally,




          $$mathrm{var}(T)=frac{4b}{(1-2b)^2}$$




          Note that, more generally, turning to generating functions rather than moments, $(ast)$ would allow to reach distributions since, for every $s$ in $[0,1]$, $$E(s^T)=scdot(1-b+bcdot E(s^T)^2)$$ hence




          $$E(s^T)=frac{1-sqrt{1-4b(1-b)s^2}}{2bs}$$




          from which the full distribution of $T_{1,0}$ follows.






          share|cite|improve this answer











          $endgroup$




          (2017-10-24) Amusing downvote, purely for mathematical reasons, I am sure...




          To reach the higher moments of $T_{1,0}$, one can use the Markov property of the chain after one step, which translates into the identity in distribution $$T_{1,0}=1+Bcdot(T_{2,1}+T'_{1,0})$$ where $B$ is Bernoulli with $P(B=1)=b$ and $P(B=0)=1-b$ for $b=.4$, and $T'_{1,0}$ is distributed like $T_{1,0}$ and independent of $T_{2,1}$.



          Since $T_{2,1}$ is also distributed like $T_{1,0}$, one is after the solution of the identity




          $$Tstackrel d=1+Bcdot(T+T')tag{$ast$}$$




          This allows to recover the first moment $E(T_{1,0})$ since $(ast)$ implies $$E(T)=1+2bcdot E(T)$$ hence, using $b<frac12$, $$E(T)=frac1{1-2b}$$ but also the second moment since $(ast)$ also implies $$E(T^2)=1+4bcdot E(T)+bcdot(2E(T^2)+2E(T))$$ hence, using again $b<frac12$, $$E(T^2)=frac{1+6bcdot E(T)}{1-2b}=frac{1+4b}{(1-2b)^2}$$ and finally,




          $$mathrm{var}(T)=frac{4b}{(1-2b)^2}$$




          Note that, more generally, turning to generating functions rather than moments, $(ast)$ would allow to reach distributions since, for every $s$ in $[0,1]$, $$E(s^T)=scdot(1-b+bcdot E(s^T)^2)$$ hence




          $$E(s^T)=frac{1-sqrt{1-4b(1-b)s^2}}{2bs}$$




          from which the full distribution of $T_{1,0}$ follows.







          share|cite|improve this answer














          share|cite|improve this answer



          share|cite|improve this answer








          edited Jan 12 at 11:04

























          answered Oct 15 '17 at 19:32









          DidDid

          247k23223459




          247k23223459












          • $begingroup$
            Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
            $endgroup$
            – helen
            Oct 15 '17 at 20:30










          • $begingroup$
            Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:01










          • $begingroup$
            @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:07










          • $begingroup$
            @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
            $endgroup$
            – Did
            Oct 16 '17 at 7:37










          • $begingroup$
            @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
            $endgroup$
            – Did
            Oct 16 '17 at 7:39


















          • $begingroup$
            Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
            $endgroup$
            – helen
            Oct 15 '17 at 20:30










          • $begingroup$
            Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:01










          • $begingroup$
            @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
            $endgroup$
            – Wilmer E. Henao
            Oct 16 '17 at 0:07










          • $begingroup$
            @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
            $endgroup$
            – Did
            Oct 16 '17 at 7:37










          • $begingroup$
            @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
            $endgroup$
            – Did
            Oct 16 '17 at 7:39
















          $begingroup$
          Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
          $endgroup$
          – helen
          Oct 15 '17 at 20:30




          $begingroup$
          Could you explain a little bit more on how you imply the second moment equation: $E(T^2)=1+4b⋅E(T)+b⋅(2E(T^2)+2E(T))$ ?
          $endgroup$
          – helen
          Oct 15 '17 at 20:30












          $begingroup$
          Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
          $endgroup$
          – Wilmer E. Henao
          Oct 16 '17 at 0:01




          $begingroup$
          Guys. I think there's a typo. I think the last term is $b^2(2E(T^2) + 2E(T))$. Maybe that's what's confusing?
          $endgroup$
          – Wilmer E. Henao
          Oct 16 '17 at 0:01












          $begingroup$
          @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
          $endgroup$
          – Wilmer E. Henao
          Oct 16 '17 at 0:07




          $begingroup$
          @helen. If you're interested in the derivation of the moment generation function here. You can find it in the book Markov Chains by Norris. Page 21 has a very detailed derivation of this. :)
          $endgroup$
          – Wilmer E. Henao
          Oct 16 '17 at 0:07












          $begingroup$
          @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
          $endgroup$
          – Did
          Oct 16 '17 at 7:37




          $begingroup$
          @WilmerE.Henao Think harder: $B^2=B$ hence $E(B^2)=b$, not $b^2$.
          $endgroup$
          – Did
          Oct 16 '17 at 7:37












          $begingroup$
          @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
          $endgroup$
          – Did
          Oct 16 '17 at 7:39




          $begingroup$
          @helen Sorry but what is not direct in $$T^2=^d1+2Bcdot(T+T')+Bcdot(T^2+2TT'+T'^2)$$ which implies $$E(T^2)=1+2E(B)cdot(2E(T))+E(B)cdot(2E(T^2)+2E(T)^2) ?$$
          $endgroup$
          – Did
          Oct 16 '17 at 7:39


















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