Transition matrix from a random walk

Lawrence S. Schulman

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arXiv · 1605.04282

Transition matrix from a random walk

Lawrence S. Schulman

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Abstract

Given a random walk a method is presented to produce a matrix of transition probabilities that is consistent with that random walk. The method is a kind of reverse application of the usual ergodicity and is tested by using a transition matrix to produce a path and then using that path to create the estimate. The two matrices and their predictions are then compared. A variety of situations test the method, random matrices, metastable configurations (for which ergodicity often does not apply) and explicit violation of detailed balance.

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Lawrence S. Schulman. 2017-08-01. Transition matrix from a random walk. https://arxiv.org/abs/1605.04282

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