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

          votes


















          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











          Your Answer





          StackExchange.ifUsing("editor", function () {
          return StackExchange.using("mathjaxEditing", function () {
          StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
          StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
          });
          });
          }, "mathjax-editing");

          StackExchange.ready(function() {
          var channelOptions = {
          tags: "".split(" "),
          id: "69"
          };
          initTagRenderer("".split(" "), "".split(" "), channelOptions);

          StackExchange.using("externalEditor", function() {
          // Have to fire editor after snippets, if snippets enabled
          if (StackExchange.settings.snippets.snippetsEnabled) {
          StackExchange.using("snippets", function() {
          createEditor();
          });
          }
          else {
          createEditor();
          }
          });

          function createEditor() {
          StackExchange.prepareEditor({
          heartbeatType: 'answer',
          autoActivateHeartbeat: false,
          convertImagesToLinks: true,
          noModals: true,
          showLowRepImageUploadWarning: true,
          reputationToPostImages: 10,
          bindNavPrevention: true,
          postfix: "",
          imageUploader: {
          brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
          contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
          allowUrls: true
          },
          noCode: true, onDemand: true,
          discardSelector: ".discard-answer"
          ,immediatelyShowMarkdownHelp:true
          });


          }
          });














          draft saved

          draft discarded


















          StackExchange.ready(
          function () {
          StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f2472887%2fvariance-of-positively-recurrent-markov-chain-hitting-time%23new-answer', 'question_page');
          }
          );

          Post as a guest















          Required, but never shown

























          1 Answer
          1






          active

          oldest

          votes








          1 Answer
          1






          active

          oldest

          votes









          active

          oldest

          votes






          active

          oldest

          votes









          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


















          draft saved

          draft discarded




















































          Thanks for contributing an answer to Mathematics Stack Exchange!


          • Please be sure to answer the question. Provide details and share your research!

          But avoid



          • Asking for help, clarification, or responding to other answers.

          • Making statements based on opinion; back them up with references or personal experience.


          Use MathJax to format equations. MathJax reference.


          To learn more, see our tips on writing great answers.




          draft saved


          draft discarded














          StackExchange.ready(
          function () {
          StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f2472887%2fvariance-of-positively-recurrent-markov-chain-hitting-time%23new-answer', 'question_page');
          }
          );

          Post as a guest















          Required, but never shown





















































          Required, but never shown














          Required, but never shown












          Required, but never shown







          Required, but never shown

































          Required, but never shown














          Required, but never shown












          Required, but never shown







          Required, but never shown







          Popular posts from this blog

          Mario Kart Wii

          What does “Dominus providebit” mean?

          Antonio Litta Visconti Arese