On occurrence of patterns in Markov chains: Method of gambling teams

A new martingale technique is developed to find formulas for the first two moments and generating function of the waiting time until one observes an element of a finite collection of patterns in a finite multi-state Markov chain.

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Year of publication:	2008
Authors:	Pozdnyakov, Vladimir
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 16, p. 2762-2767
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319098