Sampling-Reconstruction Procedure of Markov Chains with Continuous Time and with an Arbitrary Number of States
Vladimir Kazakov, Y. Goritskiy · 2015
Abstract- At the first time the statistical description of the Sampling-Reconstruction Procedure of Markov Chains with continuous time and with an arbitrary number of states is given. The analytic expression for the conditional probability density of the jump time moment is obtained. The methodology of the sampling interval choice is suggested. One illustrative example is considered. Key-Words. Sampling, reconstruction, error, Markov chain with continuous time