Central limit theorem for hitting times of functionals of Markov jump processes
Christian Paroissin; Bernard Ycart
ESAIM: Probability and Statistics (2010)
- Volume: 8, page 66-75
- ISSN: 1292-8100
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topParoissin, Christian, and Ycart, Bernard. "Central limit theorem for hitting times of functionals of Markov jump processes." ESAIM: Probability and Statistics 8 (2010): 66-75. <http://eudml.org/doc/104323>.
@article{Paroissin2010,
abstract = { A sample of i.i.d. continuous time Markov chains being
defined, the sum over each component of a real function of the
state is considered. For this functional, a central limit theorem
for the first hitting time of a prescribed level is proved.
The result extends the classical central limit theorem for order statistics.
Various reliability models are presented as examples of applications.
},
author = {Paroissin, Christian, Ycart, Bernard},
journal = {ESAIM: Probability and Statistics},
keywords = {Central limit theorem; hitting time;
reliability; failure time.; reliability; failure time},
language = {eng},
month = {3},
pages = {66-75},
publisher = {EDP Sciences},
title = {Central limit theorem for hitting times of functionals of Markov jump processes},
url = {http://eudml.org/doc/104323},
volume = {8},
year = {2010},
}
TY - JOUR
AU - Paroissin, Christian
AU - Ycart, Bernard
TI - Central limit theorem for hitting times of functionals of Markov jump processes
JO - ESAIM: Probability and Statistics
DA - 2010/3//
PB - EDP Sciences
VL - 8
SP - 66
EP - 75
AB - A sample of i.i.d. continuous time Markov chains being
defined, the sum over each component of a real function of the
state is considered. For this functional, a central limit theorem
for the first hitting time of a prescribed level is proved.
The result extends the classical central limit theorem for order statistics.
Various reliability models are presented as examples of applications.
LA - eng
KW - Central limit theorem; hitting time;
reliability; failure time.; reliability; failure time
UR - http://eudml.org/doc/104323
ER -
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