Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains. (Q1884831): Difference between revisions

The author studies the number of overlapping occurrences up to a fixed time of one or more `rare' patterns in a stationary, finite state Markov chain. He derives a bound for the total variation distance between the distribution of this quantity and a compound Poisson distribution, using his general results [Ann. Probab. 27, 565--596 (1999; Zbl 0942.60007)]. In general, the bound can be computed by solving five linear equation systems of dimension at most the number of states plus the sum of the lengths of the patterns. A number of explicit applications are also given.