Analysis of a two-dimensional Markov chain

Sharad S. Prabhu, George C. Runger

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)75-79
Number of pages5
JournalCommunications in Statistics Part B: Simulation and Computation
Volume25
Issue number1
DOIs
StatePublished - Jan 1 1996
Externally publishedYes

Keywords

  • Average run length
  • Fundamental matrix
  • Mean time until absorption

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation

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