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July 2004 Strong memoryless times and rare events in Markov renewal point processes
Torkel Erhardsson
Ann. Probab. 32(3B): 2446-2462 (July 2004). DOI: 10.1214/009117904000000054


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.


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Torkel Erhardsson. "Strong memoryless times and rare events in Markov renewal point processes." Ann. Probab. 32 (3B) 2446 - 2462, July 2004.


Published: July 2004
First available in Project Euclid: 6 August 2004

zbMATH: 1058.60070
MathSciNet: MR2078546
Digital Object Identifier: 10.1214/009117904000000054

Primary: 60K15
Secondary: 60E15

Keywords: approximation , Compound Poisson , error bound , Markov renewal process , number of points , Rare event , Strong memoryless time

Rights: Copyright © 2004 Institute of Mathematical Statistics


Vol.32 • No. 3B • July 2004
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