DEPARTMENT OF STATISTICS

STOCHASTIC PROCESSES 1: HSTS416

TUTORIAL WORKSHEET 5

1. Define each of the following terms:

(a) Limiting probability
(b) Irreducible positive recurrent
(c) hard-Weinberg law
(d) Reverse Markov chain

2. For each of the following Markov chains having the given transition probability matrices,
determine the long-run proportion of time that the process is in each state.
1⁄ 2⁄ 1⁄
2 5 10
(a) 𝑷 = ‖ 3
‖ ⁄10 2⁄5 3⁄10‖‖
1⁄ 3⁄ 1⁄
5 10 2

1⁄ 1⁄
2 2 0
(b) 𝑷 = ‖ ⁄2 ⁄4 1⁄4‖
1 1

0 1⁄3 2⁄3

1⁄ 1⁄
2 2 0 0
‖1 1 0 ‖
(c) 𝑷 = ⁄2 ⁄2 0
‖1 ‖
⁄4 1⁄4 1⁄4 1⁄4
0 0 0 1

0 0 1⁄2 1⁄2
(d) 𝑷 = ‖1 0 0 0 ‖
0 1 0 0
0 1 0 0

1⁄ 1⁄
2 2 0 0 0
‖1⁄ 1⁄ 0 ‖
2 2 0 0
(e) 𝑷 = 0 0 1⁄2 1⁄2 0
‖ 0 0 1⁄2 1⁄2 0 ‖
1⁄ 1⁄ 0 1⁄2
4 4 0

0 0.5 0.5
(f) 𝑷 = ‖0.5 0 0.5‖
0.5 0.5 0

END OF TUTORIAL