Markov renewal limit theorems

Limit Theorems for Renewal Processes

This article describes the Key renewal theorem and the Blackwell’s renewaltheorem. These two limit theorems for renewal processes are equivalent but of different forms.They are particularly useful for characterizing the asymptotic behavior of a probabilisticquantity of interest in a renewal process. We present two applications of these limit theorems:the limiting distributions o...

Renewal Theorems for Markov Chains

Ratio Limit Theorems for Markov Chains

Introduction. We consider Markov chains with stationary transition probabilities and state space S = 0, 1, 2, •• -, in both discrete and continuous time. As in [l ] the transition probabilities are denoted by pi}1 (indiscrete time) and pa(t) (in continuous time). We assume that the chains considered are irreducible and recurrent, and in addition that discrete time chains are aperiodic and that ...

Central Limit Theorems for Conditional Markov Chains

This paper studies Central Limit Theorems for real-valued functionals of Conditional Markov Chains. Using a classical result by Dobrushin (1956) for non-stationary Markov chains, a conditional Central Limit Theorem for fixed sequences of observations is established. The asymptotic variance can be estimated by resampling the latent states conditional on the observations. If the conditional means...

Local Limit Theorems for Gibbs{markov Maps

We prove conditional local limit theorems for Gibbs-Markov processes whose marginals are in the domain of attraction of a stable law with order in (0;2). c 1996.