guideline

Use slices rather than a loop to copy part of an array.

First  : constant Index := Index'First;
Second : constant Index := Index'Succ(First);
Third  : constant Index := Index'Succ(Second);
type Vector is array (Index range <>) of Element;
subtype Column_Vector is Vector (Index);
type    Square_Matrix is array  (Index) of Column_Vector;
subtype Small_Range  is Index range First .. Third;
subtype Diagonals    is Vector (Small_Range);
type    Tri_Diagonal is array  (Index) of Diagonals;
Markov_Probabilities : Square_Matrix;
Diagonal_Data        : Tri_Diagonal;
...
-- Remove diagonal and off diagonal elements.
Diagonal_Data(Index'First)(First) := Null_Value;
Diagonal_Data(Index'First)(Second .. Third) :=
      Markov_Probabilities(Index'First)(First .. Second);
for I in Second .. Index'Pred(Index'Last) loop
   Diagonal_Data(I) :=
         Markov_Probabilities(I)(Index'Pred(I) .. Index'Succ(I));
end loop;
Diagonal_Data(Index'Last)(First .. Second) :=
      Markov_Probabilities(Index'Last)(Index'Pred(Index'Last) .. Index'Last);
Diagonal_Data(Index'Last)(Third) := Null_Value;

rationale