Ergodicity in Markov Chains refers to a fundamental property that ensures long-term behavior of the chain is independent of its initial state. A Markov chain is said to be ergodic if it is irreducible and aperiodic, meaning that it is possible to reach any state from any other state, and that the return to any given state can occur at irregular time intervals. Under these conditions, the chain will converge to a unique stationary distribution regardless of the starting state.
Mathematically, if is the transition matrix of the Markov chain, the stationary distribution satisfies the equation:
This property is crucial for applications in various fields, such as physics, economics, and statistics, where understanding the long-term behavior of stochastic processes is essential. In summary, ergodicity guarantees that over time, the Markov chain explores its entire state space and stabilizes to a predictable pattern.
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