Compound Poisson limit theorems for Markov chains

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Abstract

This paper establishes a compound Poisson limit theorem for the sum of a sequence of multi-state Markov chains. Our theorem generalizes an earlier one by Koopman for the two-state Markov chain. Moreover, a similar approach is used to derive a limit theorem for the sum of the k th-order two-state Markov chain.

Original languageEnglish
Pages (from-to)24-34
Number of pages11
JournalJournal of Applied Probability
Volume34
Issue number1
DOIs
Publication statusPublished - 1997 Mar

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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