Signed Poisson approximations for Markov chains
The authors consider a sum of Markov dependent random variables. They prove that, with the aid of ``signed Poisson approximation, better results can be achieved to compare with the usual normal approximation. Let \(E_a\) denote the distribution concentrated at a point \(a\in {\mathbb R}\), \(E\equiv E_0\). Let \(\lambda \in {\mathbb R}\), and let \(F\) be a distribution. Then \(\exp \{\lambda (F-E)\}\) is called a signed compound Poisson measure. In particular, \(\exp \{\lambda (E_1-E)\}\) is called a signed Poisson measure. Let \(\xi _0,\xi _1,\ldots \) be an \(s\)-state Markov chain with the (irreducible and aperiodic) transition matrix \(P = (p_{ij})_{i,j=1,\ldots ,s}\) and initial distribution \(\Pi \). For a fixed integer-valued function \(f\) we denote by \(F_{n_0}\) the distribution of the sum \( S_{n_0} = \sum _{j=0}^n f(\xi _j). \) Then the main result of the paper states \[ \|F_{n_0}-G_0^n\|= {\mathcal O}(n^{-1/2})\quad \text{and}\quad \|F_{n_0}-G_0^n(E+G_{01})\|= o(n^{-1/2}) \] where \[ G_{0} = \exp \left \{{\sigma ^2+\mu \over 2} (E_1-E) + {\sigma ^2-\mu \over 2}(E_{-1}-E) \right \},\quad G_{01} =K(E_1-E) + n(L-\mu) (E_1-E)^3/6, \] \(\mu \) is the mean value, \(\sigma ^2\) is the (asymptotic) variance, and \(K, L\) are parameters depending on the distribution of the Markov chain. The main improvement to compare with the usual normal approximation is the total variation norm in the above result. The paper contains also a couple of further results based on the above concept.
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- On asymptotic expansions in the first uniform Kolmogorov theorem
- On signed normal-Poisson approximations
- On the limit of the Markov binomial distribution
- Precision of approximation of the generalized binomial distribution by convolutions of Poisson measures
- Pseudo-Poisson approximation for Markov chains
- Refinement of Poisson Approximation
- Some Poisson approximations using compensators
- Stein's method for compound Poisson approximation: The local approach
- Poisson type approximations for the Markov binomial distribution
- On signed normal-Poisson approximations
- Signed Poisson approximation: A possible alternative to normal and Poisson laws
- On the convergence of Markov binomial to Poisson distribution
- Total variation asymptotics for sums of independent integer random variables
- Pseudo-Poisson approximation for Markov chains
- Compound Poisson approximation
- Asymptotics for the sum of three state Markov dependent random variables
- Lower-bound estimates for Poisson-type approximations
- Mod-\(\phi\) convergence: approximation of discrete measures and harmonic analysis on the torus
- Approximation of symmetric three-state Markov chain by compound Poisson law
- Approximating kth-order two-state Markov chains
- On approximation of Markov binomial distributions
- Translated Poisson approximation to equilibrium distributions of Markov population processes
- Compound Poisson and signed compound Poisson approximations to the Markov binomial law
- Compound Poisson approximations for sums of Markov dependent random variables
- Translated Poisson approximation for Markov chains
- Moderate and large deviation estimate for the Markov-binomial distribution
- Binomial approximation to the Markov binomial distribution
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