Transition probability matrix of a Markov chain from stationary distribution

Question

I have given the stationary distribution $\pi=(1/9,3/4,5/36)$ of a connected Markov chain, which I don‘t know. Is it possible to generate the transition probability matrix of a Markov chain that has this stationary distribution?

There are 9 unknowns and only 5 equations. – Chrystomath Jul 31 '20 at 17:12 — Chrystomath, Jul 31 '20 at 17:12

score 0 · Answer 1 · answered Jul 31 '20 at 16:52

0

Take a look at the Metropolis-Hastings algorithm

answered Jul 31 '20 at 16:52

pwerth

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Transition probability matrix of a Markov chain from stationary distribution

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