Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains. (Q1884831): Difference between revisions
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| English | Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains. |
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Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains. (English)
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27 October 2004
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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.
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