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Telescoping Markov chain : ウィキペディア英語版
Telescoping Markov chain

In probability theory, a telescoping Markov chain (TMC) is a vector-valued stochastic process that satisfies a Markov property and admits a hierarchical format through a network of transition matrices with cascading dependence.
For any N> 1 consider the set of spaces \_^N. The hierarchical process \theta_k defined in the product-space
: \theta_k = (\theta_k^1,.....,\theta_k^N)\in\mathcal S^1\times......\times\mathcal S^N
is said to be a TMC if there is a set of transition probability kernels \_^N such that
(1) \theta_k^1 is a Markov chain with transition probability matrix \Lambda^1
: \mathbb P(\theta_k^1=s|\theta_^1=r)=\Lambda^1(s|r)
(2) there is a cascading dependence in every level of the hierarchy,
: \mathbb P(\theta_k^n=s|\theta_^n=r,\theta_k^=t)=\Lambda^n(s|r,t)     for all n\geq 2.
(3) \theta_k satisfies a Markov property with a transition kernel that can be written in terms of the \Lambda's,
:\mathbb P(\theta_=\vec s|\theta_k=\vec r)=\Lambda^1(s_1|r_1)\prod_^N\Lambda^\ell(s_\ell|r_\ell,s_)
where \vec s = (s_1,\ldots,s_N)\in\mathcal S^1\times\cdots\times\mathcal S^N and \vec r = (r_1,\ldots,r_N)\in\mathcal S^1\times\cdots\times\mathcal S^N.



抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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