Waiting time distributions associated with runs of fixed length in two-state Markov chains (Q1370534)

This paper deals with the study of the waiting time distribution for the \(r\)th appearance of a success run of length \(k\) in a sequence of Markov dependent trials \(X_1,X_2,X_3,\dots\), where \(\{X_n\}\) is a time-homogeneous two-state Markov chain. The three enumeration schemes -- non-overlapping success runs, success runs of length at least \(k\) and overlapping success runs -- are treated separately and in each case a representation as a sum of independent random variables is established. Asymptotic results are given and extensions and generalizations are also presented.