Structure change with transition matrix

We continue to consider

for a common matrix

together with

but we change A’s and Q’s across groups.

We set bigger matrix As and Qs by merging A’s and Q’s vertically. That is,

and

when we have ns groups. Each A and Q is dim x 1 vector.

There are dim x ns numbers of elements in As and Qs in total respectively.

We pick every dim numbers of rows in As and Qs in the program.