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.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty