Analysis of a two-dimensional Markov chain

Sharad S. Prabhu; George C. Runger

doi:10.1080/03610919608813299

Analysis of a two-dimensional Markov chain

Sharad S. Prabhu, George C. Runger

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

A numerical procedure for the analysis of a two-dimensional Markov chain that is characterized by a large state-space and a geometric region of absorbing states is presented. The chain occurs in the analysis of multivariate statistical process control charts. Our method allows for an arbitrary positioning of absorbing states, and uses the independence between horizontal and vertical transitions to avoid the computation of a large probability transition matrix.

Original language	English (US)
Pages (from-to)	75-79
Number of pages	5
Journal	Communications in Statistics Part B: Simulation and Computation
Volume	25
Issue number	1
DOIs	https://doi.org/10.1080/03610919608813299
State	Published - Jan 1 1996
Externally published	Yes

Keywords

Average run length
Fundamental matrix
Mean time until absorption

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation

Access to Document

10.1080/03610919608813299

Cite this

@article{a601e4f62cdb4ad19bd506e1255f66a5,

title = "Analysis of a two-dimensional Markov chain",

abstract = "A numerical procedure for the analysis of a two-dimensional Markov chain that is characterized by a large state-space and a geometric region of absorbing states is presented. The chain occurs in the analysis of multivariate statistical process control charts. Our method allows for an arbitrary positioning of absorbing states, and uses the independence between horizontal and vertical transitions to avoid the computation of a large probability transition matrix.",

keywords = "Average run length, Fundamental matrix, Mean time until absorption",

author = "Prabhu, {Sharad S.} and Runger, {George C.}",

year = "1996",

month = jan,

day = "1",

doi = "10.1080/03610919608813299",

language = "English (US)",

volume = "25",

pages = "75--79",

journal = "Communications in Statistics Part B: Simulation and Computation",

issn = "0361-0918",

publisher = "Taylor and Francis Ltd.",

number = "1",

}

TY - JOUR

T1 - Analysis of a two-dimensional Markov chain

AU - Prabhu, Sharad S.

AU - Runger, George C.

PY - 1996/1/1

Y1 - 1996/1/1

N2 - A numerical procedure for the analysis of a two-dimensional Markov chain that is characterized by a large state-space and a geometric region of absorbing states is presented. The chain occurs in the analysis of multivariate statistical process control charts. Our method allows for an arbitrary positioning of absorbing states, and uses the independence between horizontal and vertical transitions to avoid the computation of a large probability transition matrix.

AB - A numerical procedure for the analysis of a two-dimensional Markov chain that is characterized by a large state-space and a geometric region of absorbing states is presented. The chain occurs in the analysis of multivariate statistical process control charts. Our method allows for an arbitrary positioning of absorbing states, and uses the independence between horizontal and vertical transitions to avoid the computation of a large probability transition matrix.

KW - Average run length

KW - Fundamental matrix

KW - Mean time until absorption

UR - http://www.scopus.com/inward/record.url?scp=1542638484&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=1542638484&partnerID=8YFLogxK

U2 - 10.1080/03610919608813299

DO - 10.1080/03610919608813299

M3 - Article

AN - SCOPUS:1542638484

SN - 0361-0918

VL - 25

SP - 75

EP - 79

JO - Communications in Statistics Part B: Simulation and Computation

JF - Communications in Statistics Part B: Simulation and Computation

IS - 1

ER -

Analysis of a two-dimensional Markov chain

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this