Let $T$ be a $N\times N$ transition matrix for a markov chain with $N$ states. Thus $T\_{ij}$ is the probability of transition from state $i$ to state $j$ (and thus rows summing to one). Now consider the matrix $$T\_k=T\otimes T$$. Its easy to see that rows of $T\_k$ sum to one and each entry is non-negative. Thus, $T\_k$ is a transition matrix for some markov chain which has $N^2$ states. What is the relation between markov chains corresponding to $T$ and $T\_k$. I am not able to visualize this.



Intuition on Kronecker Product of a Transition Matrix
I think you just have a pair of independent chains. The probability of making a transition from (i,j) to (k,l) is $p\_{ik}p\_{jl}$, where the first component is the state of the first chain and the second of the second. The transitions out of the (i,j) state are found in the N(i-1) + j th row.


