Dear all, I am kind of thinking how to calculate the invariant distribution for the large transition matrix of a Markov Chain. The general Lumpability is not applicable here. Actually, each column in the transition matrix is just like a Binomial distribution with probability P(i), where i is the index of the column. Can you give me some suggestion on how to calculate the invariant distribution efficiently? I am more interested in the mean and the variance of the states, any simpler ways to calculate them?
Thanks a lot. Kevin . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
