Central limit theorem for hitting times of functionals of Markov jump processes

Christian Paroissin; Bernard Ycart

ESAIM: Probability and Statistics (2004)

  • Volume: 8, page 66-75
  • ISSN: 1292-8100

Abstract

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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.

How to cite

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Paroissin, Christian, and Ycart, Bernard. "Central limit theorem for hitting times of functionals of Markov jump processes." ESAIM: Probability and Statistics 8 (2004): 66-75. <http://eudml.org/doc/244738>.

@article{Paroissin2004,
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; Central limit theorem},
language = {eng},
pages = {66-75},
publisher = {EDP-Sciences},
title = {Central limit theorem for hitting times of functionals of Markov jump processes},
url = {http://eudml.org/doc/244738},
volume = {8},
year = {2004},
}

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
PY - 2004
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; Central limit theorem
UR - http://eudml.org/doc/244738
ER -

References

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