Covariances Between Transient States in Finite Absorbing Markov Chains
Michael A. Carchidi, Robert L. Higgins · College Mathematics Journal · 2017
SummaryIt is well known that, starting from a transient state in a finite absorbing Markov chain, the mean and variance in the number of visits to any transient state can be expressed in terms of entries in the chain's normal matrix. We show that, starting from a transient state, the covariance in the number of visits to any two transient states can also be expressed in terms of entries in the normal matrix, as can the mean and variance in the total number of visits to all transient states.