2004/07/01 by Torkel Erhardsson
Business, Management and Accounting · Decision Sciences · Mathematics · #Advanced Queuing Theory Analysis #Probability and Risk Models #Random Matrices and Applications #math.PR #msc:60E15 #msc:60K15
paper · pdf · doi:10.1214/009117904000000054
published as Annals of Probability 2004, Vol. 32, No. 3B, 2446-2462 · Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000054
openalex publication_date 2004/07/01 · arxiv created 2004/10/06 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
Let W be the number of points in (0,t] of a stationary finite-state Markov renewal point process. We derive a bound for the total variation distance between the distribution of W and a compound Poisson distribution. For any nonnegative random variable ζ, we construct a “strong memoryless time” ζ such that ζ−t is exponentially distributed conditional on \ζ≤ t, ζ>t\, for each t. This is used to embed the Markov renewal point process into another such process whose state space contains a frequently observed state which represents loss of memory in the original process. We then write W as the accumulated reward of an embedded renewal reward process, and use a compound Poisson approximation error bound for this quantity by Erhardsson. For a renewal process, the bound depends in a simple way on the first two moments of the interrenewal time distribution, and on two constants obtained from the Radon–Nikodym derivative of the interrenewal time distribution with respect to an exponential distribution. For a Poisson process, the bound is 0.