Strong memoryless times and rare events in Markov renewal point processes.

DOI10.1214/009117904000000054MaRDI QIDQ1889787zbMATHOpenAlexFDO

Authors Torkel Erhardsson

Publication date 10 December 2004

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0410166

zbMATH Keywords

compound Poisson distributionMarkov renewal processrare eventstrong memoryless time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Markov renewal processes, semi-Markov processes (60K15)

Abstract: Let W be the number of points in (0,t] of a stationary finite-state Markov renewal point process. We derive a bound for the total variation distance between the distribution of W and a compound Poisson distribution. For any nonnegative random variable zeta, we construct a ``strong memoryless time hat zeta such that zeta-t is exponentially distributed conditional on {hat zetaleq t, zeta>t}, for each t. This is used to embed the Markov renewal point process into another such process whose state space contains a frequently observed state which represents loss of memory in the original process. We then write W as the accumulated reward of an embedded renewal reward process, and use a compound Poisson approximation error bound for this quantity by Erhardsson. For a renewal process, the bound depends in a simple way on the first two moments of the interrenewal time distribution, and on two constants obtained from the Radon-Nikodym derivative of the interrenewal time distribution with respect to an exponential distribution. For a Poisson process, the bound is 0.

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Cited in

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