Joint Distributions of the Numbers of Visits for Finite-State Markov Chains
For a discrete-time Markov chain with finite state space {1, ..., r} we consider the joint distribution of the numbers of visits in states 1, ..., r-1 during the firstNsteps or before theNth visit tor. From the explicit expressions for the corresponding generating functions we obtain the limiting multivariate distributions asN-->[infinity] when staterbecomes asymptotically absorbing and forj=1, ..., r-1 the probability of a transition fromrtojis of order 1/N.
Year of publication: |
1999
|
---|---|
Authors: | Stadje, Wolfgang |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 70.1999, 2, p. 157-176
|
Publisher: |
Elsevier |
Keywords: | Markov chain finite state-space numbers of visits joint distribution generating function asymptotic distribution |
Saved in:
Saved in favorites
Similar items by person
-
Some remarks on the average sample number of sequential and non-sequential tests
Stadje, Wolfgang, (1982)
-
ON THE THEORY OF ROTATIONALLY SYMMETRIC RANDOM VECTORS
Stadje, Wolfgang, (1984)
-
Annuities with controlled random interest rates
Perry, David, (2003)
- More ...