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Variance of the residence times

Let: T = Set of Transient States
       Tc= Set of Recurrent States

Output: Var[Nij], where Nij = Residence Time of the process in state j given X(0) = i for all i, j in the set T.

Input: Q = submatrix of transion probabilities between transient states of the one-step transition probability matrix P.

Canonical form of the matrix

Q =

Results will appear below.

Results