Journal of Applied Probability

Similar states in continuous-time Markov chains

V. B. Yap

Source: J. Appl. Probab. Volume 46, Number 2 (2009), 497-506.

Abstract

In a homogeneous continuous-time Markov chain on a finite state space, two states that jump to every other state with the same rate are called similar. By partitioning states into similarity classes, the algebraic derivation of the transition matrix can be simplified, using hidden holding times and lumped Markov chains. When the rate matrix is reversible, the transition matrix is explicitly related in an intuitive way to that of the lumped chain. The theory provides a unified derivation for a whole range of useful DNA base substitution models, and a number of amino acid substitution models.

Primary Subjects: 60J27, 60J35
Secondary Subjects: 92D20
Keywords: Holding time; uniformisation; lumped Markov chain; reversibility

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.jap/1245676102
Digital Object Identifier: doi:10.1239/jap/1245676102
Zentralblatt MATH identifier: 05578821
Mathematical Reviews number (MathSciNet): MR2535828

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