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Some distribution and moment formulae for the Markov renewal process

  • A. M. Kshirsagar (a1) and R. Wysocki (a1)
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1. Introduction. A Markov Renewal Process (MRP) with m(<∞) states is one which records at each time t, the number of times a system visits each of the m states up to time t, if the system moves from state to state according to a Markov chain with transition probability matrix P0 = [pij] and if the time required for each successive move is a random variable whose distribution function (d.f.) depends on the two states between which the move is made. Thus, if the system moves from state i to state j, the holding time in the state i has Fij(x) as its d.f. (i, j = 1,2, …, m).

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(1)Billingsley, P.Statistical methods in Markov chains. Ann. Math. Statist. 32 (1961), 1240 (see also corrections in ibid. p. 1343).
(2)Cox, D. R.Renewal Theory, p. 47. (John Wiley and Sons, Inc.; New York, 1962.)
(3)Dawson, R. and Good, I. J.Exact Markov probabilities from oriented linear graphs. Ann. Math. Statist. 28 (1957), 946956.
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(6)Martin, J. J.Bayesian decision problems and Markov chains. (John Wiley and Sons, Inc.; New York, 1967.)
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(11)Whittle, P.Some distribution and moment formulae for the Markov chain. J. Roy. Statist. Soc. Ser. B 17 (1955), 235242.
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Mathematical Proceedings of the Cambridge Philosophical Society
  • ISSN: 0305-0041
  • EISSN: 1469-8064
  • URL: /core/journals/mathematical-proceedings-of-the-cambridge-philosophical-society
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