A Convexity Property in the Theory of Random Variables Defined on a Finite Markov Chain
Miller, H. D.
Ann. Math. Statist., Tome 32 (1961) no. 4, p. 1260-1270 / Harvested from Project Euclid
Let $P = (p_{jk})$ be the transition matrix of an ergodic, finite Markov chain with no cyclically moving sub-classes. For each possible transition $(j, k)$, let $H_{jk}(x)$ be a distribution function admitting a moment generating function $f_{jk}(t)$ in an interval surrounding $t = 0$. The matrix $P(t) = \{p_{jk}f_{jk}(t)\}$ is of interest in the study of the random variable $S_n = X_1 + \cdots + X_n$, where $X_m$ has the distribution $H_{jk}(x)$ if the $m$th transition takes the chain from state $j$ to state $k$. The matrix $P(t)$ is non-negative and therefore possesses a maximal positive eigenvalue $\alpha_1(t)$, which is shown to be a convex function of $t$. As an application of the convexity property, we obtain an asymptotic expression for the probability of tail values of the sum $S_n$, in the case where the $X_m$ are integral random variables. The results are related to those of Blackwell and Hodges [1], whose methods are followed closely in Section 5, and Volkov [4], [5], who treats in detail the case of integer-valued functions of the state of the chain, i.e., the case $f_{jk}(t) = \exp(\beta_kt) (\beta_k$ integral).
Publié le : 1961-12-14
Classification: 
@article{1177704865,
     author = {Miller, H. D.},
     title = {A Convexity Property in the Theory of Random Variables Defined on a Finite Markov Chain},
     journal = {Ann. Math. Statist.},
     volume = {32},
     number = {4},
     year = {1961},
     pages = { 1260-1270},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177704865}
}
Miller, H. D. A Convexity Property in the Theory of Random Variables Defined on a Finite Markov Chain. Ann. Math. Statist., Tome 32 (1961) no. 4, pp.  1260-1270. http://gdmltest.u-ga.fr/item/1177704865/