most citedDistribution of a Markov chain in reverse-time with cluster observations in the extremes of a finite time window

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math.PR2022★ 1 cited

Distribution of a Markov chain in reverse-time with cluster observations in the extremes of a finite time window

Daniel A. Gutierrez-Pachas, Eduardo F. Costa, Alessandro N. Vargas

In this brief note, we find formulas for the distribution and the transition probability matrices of a stochastic process described as a time-reversion in a finite time window of a…