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Finite Markov chains
John G. Kemeny,J. Laurie Snell +1 more
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TLDR
This lecture reviews the theory of Markov chains and introduces some of the high quality routines for working with Markov Chains available in QuantEcon.jl.Abstract:
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.read more
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