Mean and variance of first passage time in Markov chains with unknown parameters

Abstract

There are known expressions to calculate the moments of the first passage time in Markov chains. Nevertheless, it is commonly forgotten that in most applications the parameters of the Markov chain are constructed using estimates based upon empirical data and in those cases the data sample size should play an important role in estimating the variance. Here we provide a Monte Carlo approach to estimate the first two moments of the passage time in this situation. We illustrate this method with an example using data from the biological field.