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Inequalities for rare events in time-reversible Markov chains II

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  • Aldous, David J.
  • Brown, Mark

Abstract

A previous paper discussed explicit bounds in the exponential approximation for the distribution of the waiting time until a stationary reversible Markov chain first enters a 'rare' subset of states. In this paper Stein's method is used to get explicit (but complicated) bounds on the Poisson approximation for the number of non-adjacent visits to a rare subset.

Suggested Citation

  • Aldous, David J. & Brown, Mark, 1993. "Inequalities for rare events in time-reversible Markov chains II," Stochastic Processes and their Applications, Elsevier, vol. 44(1), pages 15-25, January.
    • Handle: RePEc:eee:spapps:v:44:y:1993:i:1:p:15-25
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    Cited by:

    1. Mark Brown & Shuangning Li, 2018. "Sharp Bounds for Exponential Approximations of NWUE Distributions," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 875-896, September.

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