Limit \(\Gamma\)-distributions for sums of random variables, connected in an inhomogeneous Markov chain with two states
type: Item
instance of: scholarly article
title: Limit \(\Gamma\)-distributions for sums of random variables, connected in an inhomogeneous Markov chain with two states
zbMATH Open document ID: 0569.60067
DOI: 10.1007/BF01066948
author: M. N. Marushin
published in: Ukrainian Mathematical Journal
publication date: 1984-01-01T00:00:00Z
review text: Let \(S_ n=x_{n1}+...+x_{nk_ n}\), where, for every \(n=1,2,...\), \((x_{ni})\) is a nonhomogeneous Markov chain with two states 0 and 1. The main theorem, given with proof, establishes necessary and sufficient conditions in order that the moment limit relations, implying the convergence of the distribution of \(S_ n/\sigma_ n\) to the a- parameter gamma distribution, hold. Here \(\sigma_ n=C\max_{i}T^+_ i\), \(T^+_ i\) and the conditions having explicit expressions in terms of the one step transition probabilities \(p^{(i)}\) of the n-th chain. The equivalence is proved under some restrictions: \(\sigma_ n\to \infty\), \(\max_{2\leq i}p_{01}^{(i)}\to 0\), \((\sum_{i}p_{01}^{(i+1)}T^+_{i+1})/\sigma_ n\to \delta\) (finite).
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 3909471
zbMATH Keywords: moment limit relations
zbMATH Keywords: convergence of the distribution
zbMATH Keywords: gamma distribution
reviewed by: Ion Cuculescu
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 3909471