On the Imbedding Problem for Three-state Time Homogeneous Markov Chains with Coinciding Negative Eigenvalues

Yong Chen; Jianmin Chen

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arXiv · 1009.2152

On the Imbedding Problem for Three-state Time Homogeneous Markov Chains with Coinciding Negative Eigenvalues

Yong Chen·Jianmin Chen

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Abstract

For an indecomposable $3\times 3$ stochastic matrix (i.e., 1-step transition probability matrix) with coinciding negative eigenvalues, a new necessary and sufficient condition of the imbedding problem for time homogeneous Markov chains is shown by means of an alternate parameterization of the transition rate matrix (i.e., intensity matrix, infinitesimal generator), which avoids calculating matrix logarithm or matrix square root. In addition, an implicit description of the imbedding problem for the $3\times 3$ stochastic matrix in Johansen [J. Lond. Math. Soc., 8, 345-351. (1974)] is pointed out.

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Yong Chen, Jianmin Chen. 2010-09-11. On the Imbedding Problem for Three-state Time Homogeneous Markov Chains with Coinciding Negative Eigenvalues. https://arxiv.org/abs/1009.2152

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