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MarkovChains

Short Summary

A short introduction to the theory of Markov Chains.

Topics

  • Transitions, and the Chapman-Kolmogorov equation
  • Classification of states and first passage or hitting times
  • The invariant distribution
    • Markov’s (or the ergodic) theorem
  • Examples in theory and practice
    • State-space modelling: MC approximation to an AR(1) process (Rouwenhorst method)
    • State-space modelling using the Poisson process.
    • Unemployment transitions
    • Google’s PageRank