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