Kemeny's function for Markov chains and Markov renewal processes

Renewal Theorems for Markov Chains

Markov Chains and Jump Processes

A Diffusion Approximation for Markov Renewal Processes

For a Markov renewal process where the time parameter is discrete, we present a novel method for calculating the asymptotic variance. Our approach is based on the key renewal theorem and is applicable even when the state space of the Markov chain is countably infinite.

Empirical Bayes Estimation in Nonstationary Markov chains

Estimation procedures for nonstationary Markov chains appear to be relatively sparse. This work introduces empirical  Bayes estimators  for the transition probability  matrix of a finite nonstationary  Markov chain. The data are assumed to be of  a panel study type in which each data set consists of a sequence of observations on N>=2 independent and identically dis...

Level-crossing Ordering of Semi-markov Processes and Markov Chains

We extend the definition of level-crossing ordering of stochastic processes, proposed by Irle andGani (2001), to the case in which the times to exceed levels are compared using an arbitrary stochastic order, and work, in particular, with integral stochastic orders closed for convolution. Using a sample-path approach, we establish level-crossing ordering results for the case in which the slower ...