Finite Markov chains
Finite Markov chains
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DOI：
10.2307/2309264
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发表时间：
1960-12
期刊：
影响因子：
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通讯作者：
T. Sargent;J. Stachurski
中科院分区：
文献类型：
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作者：
T. Sargent;J. Stachurski
马尔可夫链是最有用的随机过程类别之一，它·简单、灵活，并得到许多优雅的理论结果的支持·对于建立关于随机动态模型的直觉有价值·它们本身是定量建模的核心，你会在许多经济学和金融学的主力模型中找到它们。在这堂课中，我们回顾了马尔可夫链的一些理论。我们还将介绍QuantEcon.jl中提供的一些使用马尔可夫链的高质量例程。必备知识是基本概率和线性代数。
Markov chains are one of the most useful classes of stochastic processes, being • simple, flexible and supported by many elegant theoretical results • valuable for building intuition about random dynamic models • central to quantitative modeling in their own right You will find them in many of the workhorse models of economics and finance. In this lecture we review some of the theory of Markov chains. We will also introduce some of the high quality routines for working with Markov chains available in QuantEcon.jl. Prerequisite knowledge is basic probability and linear algebra.