Transition probabilities do not sum to $1$

325 Views Asked by At

I have a set of weekly probabilities, and in order to convert to monthly probabilities, I have firstly convert the weekly probabilities into rates, $$r = -\frac{\ln (1-p)}{ t} ,\quad t=1\text{ week.}$$ Then from the rates I convert to monthly probabilities, $$P = 1 -\exp(-rt),\quad t=4\text{ weeks.}$$ Strangely though, these monthly probabilities do not sum up to $1$ for each row!

What has happened? Did I do something wrong? I hope somebody can help me in explaining my situation.