On occurrence of patterns in Markov chains: Method of gambling teams

Vladimir Pozdnyakov

Statistics & Probability Letters, 2008, vol. 78, issue 16, 2762-2767

Abstract: A new martingale technique is developed to find formulas for the first two moments and generating function of the waiting time until one observes an element of a finite collection of patterns in a finite multi-state Markov chain.

Date: 2008
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