Waiting time problems in a two-state Markov chain

DOI10.1023/A:1017537629251MaRDI QIDQ5936214zbMATH OpenOpenAlexFDO

Authors Qing Han, Sigeo Aki

Publication date 29 July 2002

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:1017537629251

zbMATH Keywords

computer algebra systemsMarkov chain imbedding techniqueprobability generating functions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Exact distribution theory in statistics (62E15)

Review text

Let \(F_0\) be the event that \(l_0\) \(0\)-runs of length \(k_0\) occur and let \(F_1\) be the event that \(l_1\) \(0\)-runs of length \(k_1\) occur in a two-state Markov chain. The authors employ a combinatorial method and the Markov chain imbedding technique to derive explicit formulas for the probability generating functions (pgf's) of the sooner and later waiting times (\(W_{\text{S}}\) and \(W_{\text{L}}\)) between \(F_0\) and \(F_1\). Their present results generalize results of their own [ibid. 51, No. 3, 419-447 (1999; Zbl 0961.60029)], results of \textit{D. Antzoulakos} and \textit{A. Philippou} [ibid. 49, No. 3, 531-539 (1997)] and results of \textit{K. Balasubramanian}, \textit{R. Viveros} and \textit{N. Balakrishnan} [Stat. Probab. Lett. 18, No. 2, 153-161 (1993; Zbl 0783.60012)]. As they state, the probability distribution functions (pdf's) of \(W_{\text{S}}\) and \(W_{\text{L}}\) may be obtained by expanding their pgf's. They also note that their results are suitable for numerical and symbolic calculations by computer algebra systems, and, using Mapple V, graph the pdf's of \(W_{\text{S}}\) and \(W_{\text{L}}\) for \(l_0= 3\), \(k_0= 2\), \(l_1= 2\), \(k_1= 3\) and \(p_0= 0.5\), \(p_{00}= 0.35\), \(p_{10}= 0.6\).

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Cited in

(9)

• Markovian start-up demonstration tests with rejection of units upon observing \(d\) failures.
• Sooner and later waiting time problems in a two-state Markov chain
• Oscillation properties of expected stopping times and stopping probabilities for patterns consisting of consecutive states in Markov chains
• Waiting time distributions of simple and compound patterns in a sequence of \(r\)th order Markov dependent multi-state trials
• Waiting Times and Number of Appearances of Runs: A Unified Approach
• On the joint distribution of success runs of several lengths in the sequence of MBT and its applications
• Stopping Probabilities for Patterns in Markov Chains
• On Generating Functions of Waiting Times and Numbers of Occurrences of Compound Patterns in a Sequence of Multistate Trials
• Joint distributions of runs in a sequence of higher-order two-state Markov trials

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