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Rarity and Exponentiality

  • Julian Keilson
Part of the Applied Mathematical Sciences book series (AMS, volume 28)

Abstract

If a system is modeled by a finite Markov chain which is ergodic, the passage time from some specified initial distribution over the state space to a subset B of the state space visited infrequently is often exponentially distributed to good approximation. The chapter is devoted to the limit theorems surrounding such behavior for processes and the characterization of thè circumstances under which exponentiality is present. In the absence of certain “jitter,” i.e., clustering of the entry epochs into the good set G, the time to failure from the perfect state, the quasi-stationary exit time, the ergodic exit time and the sojourn time on the good set then have a common asymptotic exponential distribution and common expectations. For engineering purposes, it is essential to quantify departure from exponentiality via error bounds. When one is dealing with time-reversible chains e.g., systems with independent Markov components, the complete monotonicity present permits such quantification and the error bounds needed.

Keywords

Sojourn Time Dominate Convergence Theorem Exit Time Exponential Approximation Time Density 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York Inc. 1979

Authors and Affiliations

  • Julian Keilson
    • 1
  1. 1.The University of RochesterRochesterUSA

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