The Annals of Probability

Strong memoryless times and rare events in Markov renewal point processes

Torkel Erhardsson

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Let W be the number of points in (0,t] of a stationary finite-state Markov renewal point process. We derive a bound for the total variation distance between the distribution of W and a compound Poisson distribution. For any nonnegative random variable ζ, we construct a “strong memoryless time” $\hat{\zeta}$ such that ζ−t is exponentially distributed conditional on $\{\hat{\zeta}\leq t,\,\zeta>t\}$, for each t. This is used to embed the Markov renewal point process into another such process whose state space contains a frequently observed state which represents loss of memory in the original process. We then write W as the accumulated reward of an embedded renewal reward process, and use a compound Poisson approximation error bound for this quantity by Erhardsson. For a renewal process, the bound depends in a simple way on the first two moments of the interrenewal time distribution, and on two constants obtained from the Radon–Nikodym derivative of the interrenewal time distribution with respect to an exponential distribution. For a Poisson process, the bound is 0.

Article information

Ann. Probab., Volume 32, Number 3B (2004), 2446-2462.

First available in Project Euclid: 6 August 2004

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Zentralblatt MATH identifier

Primary: 60K15: Markov renewal processes, semi-Markov processes
Secondary: 60E15: Inequalities; stochastic orderings

Strong memoryless time Markov renewal process number of points rare event compound Poisson approximation error bound


Erhardsson, Torkel. Strong memoryless times and rare events in Markov renewal point processes. Ann. Probab. 32 (2004), no. 3B, 2446--2462. doi:10.1214/009117904000000054.

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