We consider the problem of estimating the rate of convergence to stationarity of a continuous-time, finite-state Markov chain. This is done via an estimator of the second-largest eigenvalue of the ...

Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...

1 Management and Decision Engineering Laboratory (MDE-Lab), Department of Financial and Management Engineering, School of Engineering, University of the Aegean, Chios, Greece 2 School of Economic ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...

Abstract: We put forward a novel Markov chain approximation method with regard to the filtering problem. The novelty consists in making use of the sparse grid theory to deal with the curse of ...

The final, formatted version of the article will be published soon. Introduction: Markov chains are a powerful tool for modeling systems in various scientific domains, including queueing theory. These ...

This project visualizes state-to-state migration patterns using a Markov chain transition matrix. The visualization is presented as an interactive heatmap that allows users to explore migration ...