17 lines
490 B
Matlab
17 lines
490 B
Matlab
function gpi = fn_ergodp(P)
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% gpi = fn_ergodp(P)
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% Compute the ergodic probabilities. See Hamilton p.681.
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%
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% P: n-by-n matrix of transition matrix where all elements in each column sum up to 1.
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%-----
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% gpi: n-by-1 vector of ergodic probabilities.
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%
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% Tao Zha August 2000
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[gpim,gpid] = eig(P); % m: matrix; d: diagonal
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[gpidv,gpidvinx] = sort(diag(gpid));
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gpidv = fliplr(gpidv);
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gpidvinx = flipud(gpidvinx);
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gpim = gpim(:,gpidvinx);
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gpi = gpim(:,1)/sum(gpim(:,1));
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