Compound Poisson approximation for multiple runs in a Markov chain

DOI10.1023/A:1022438422611MaRDI QIDQ1868302zbMATH OpenFDO

Authors Ourania Chryssaphinou, Eutichia Vaggelatou

Publication date 27 April 2003

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1022438422611

zbMATH Keywords

compound Poisson approximationconsecutive \(k_1,\dots,k_r\) out of \(n\):MFM systemKolmogorov distance

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

Let \((X_i)\) be a stationary Markov chain with \(r\)-valued terms. Consider the runs of \(k_i\) \((i = 1,\dots,r)\) consecutive random variables having value \(i\), that end in the finite sequence \(X_1,\dots,X_n\). Then the random variable \(W=\sum^n_{a=1} \sum^r_{i=1} I[(X_{a-k+1},\dots,X_a)=(i,\dots,i)]\) enumerates the overlapping run. Here \(I\) denotes the indicator. The aim of the paper is to estimate the approximation of \(W\)-distribution by compound Poisson; the so called waiting time \(T_k\), i.e. the number of trials until the \(k\)th run appearance \(P(T_k>n)=P(W<k)\), is shown for large \(k\).

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(11)

• Poisson type approximations for the Markov binomial distribution
• On the probability of existence of substrings with the same structure in a random sequence
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• Poisson approximation for the number of non-decreasing runs in Markov chains
• Compound Poisson approximations for word patterns under Markovian hypotheses
• ESTIMATOR FOR THE DISTRIBUTION OF THE NUMBERS OF RUNS IN A RANDOM SEQUENCE CONTROLLED BY STATIONARY MARKOV CHAIN
• On the limit distribution of a number of runs in polynomial sequence controlled by Markov chain
• Compound Poisson and signed compound Poisson approximations to the Markov binomial law
• A lower bound for the reliability function of multiple failure mode systems

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