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Singles in a Markov chain

  • Omey, Edward

    ()

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

  • Van Gulck, Stefan

    ()

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

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    Let fXi; i _ 1g denote a sequence of variables that take values in f0; 1g and suppose that the sequence forms a Markov chain with transition matrix P and with initial distribution (q; p) = (P(X1 = 0); P(X1 = 1)). Several authors have studied the quantities Sn, Y (r) and AR(n), where Sn = Pn i=1 Xi denotes the number of successes, where Y (r) denotes the number of experiments up to the r??th success and where AR(n) denotes the number of runs. In the present paper we study the number of singles AS(n) in the vector (X1;X2; :::;Xn). A single in a sequence is an isolated value of 0 or 1, i.e. a run of lenght 1. Among others we prove a central limit theorem for AS(n).

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    File URL: http://lirias.hubrussel.be/handle/123456789/2187
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    Paper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2007/17.

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    Length: 14 pages
    Date of creation: Sep 2007
    Date of revision:
    Handle: RePEc:hub:wpecon:200717
    Contact details of provider: Web page: http://research.hubrussel.be

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