On approximation of Markov binomial distributions

DOI10.3150/09-BEJ194MaRDI QIDQ605899zbMATH OpenOpenAlexFDO

Authors Aihua Xia, Mei Zhang

Publication date 15 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.2144

zbMATH Keywords

binomial distributioncouplingMarkov binomial distributionnegative binomial distributionStein's methodtotal variation distance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: For a Markov chain $mathbfX=X_i,i=1,2,\mathrm{...},n$ with the state space $0,1$, the random variable $S:=su{m}_{i=1}^n{X}_i$ is said to follow a Markov binomial distribution. The exact distribution of $S$, denoted $mathcalLS$, is very computationally intensive for large $n$ (see Gabriel [Biometrika 46 (1959) 454--460] and Bhat and Lal [Adv. in Appl. Probab. 20 (1988) 677--680]) and this paper concerns suitable approximate distributions for $mathcalLS$ when $mathbfX$ is stationary. We conclude that the negative binomial and binomial distributions are appropriate approximations for $mathcalLS$ when $operatornameVarS$ is greater than and less than $mathbbES$, respectively. Also, due to the unique structure of the distribution, we are able to derive explicit error estimates for these approximations.

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Cited in

(22)

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