Given an experiment: repeat toss a coin until two head or two tails consecutively.
Example: HTT, THH, HTHH, THTHTT, etc.
Construct transition probability matrix.
I spent many time to think this problem. To construct the transition probability matrix, we must know the states and transition process. But I don't understand how to construct the states and transition in this problem. Can anyone explain how to construct the state on this problem? What the transition process on this problem?