giddy.ergodic.fmpt¶

giddy.ergodic.fmpt(P)[source]¶

Calculates the matrix of first mean passage times for an ergodic transition probability matrix.

Parameters:	P : array (k, k), an ergodic Markov transition probability matrix.
Returns:	M : array (k, k), elements are the expected value for the number of intervals required for a chain starting in state i to first enter state j. If i=j then this is the recurrence time.

Notes

Uses formulation (and examples on p. 218) in [KS67].

Examples

>>> import numpy as np
>>> from giddy.ergodic import fmpt
>>> p=np.array([[.5, .25, .25],[.5,0,.5],[.25,.25,.5]])
>>> fm=fmpt(p)
>>> fm
array([[2.5       , 4.        , 3.33333333],
       [2.66666667, 5.        , 2.66666667],
       [3.33333333, 4.        , 2.5       ]])

Thus, if it is raining today in Oz we can expect a nice day to come along in another 4 days, on average, and snow to hit in 3.33 days. We can expect another rainy day in 2.5 days. If it is nice today in Oz, we would experience a change in the weather (either rain or snow) in 2.67 days from today. (That wicked witch can only die once so I reckon that is the ultimate absorbing state).