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    the article describes some properties of long runs in Markov chains

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    Longest Runs in Markov Chains

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    the article describes some properties of long runs in Markov chains

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    © All Rights Reserved
    Download as PDF or read online from Scribd
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    5 views8 pages

    Longest Runs in Markov Chains

    Uploaded by

    gchmnk
    the article describes some properties of long runs in Markov chains

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
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    é LONGEST RUNS IN MARKOV CIAINS KUSOLITSCH Norbert Institut fiir Statistik und Wahrscheinlich- keitstheorie, Technische Universitat Wien Abstract: Let R be a proper subset of the statespace S bf a finite, homogeneous, irreducible Markov—chain. Runs Se defined as subsequences consisting of states from R. fhe paper investigates the length of the longest run. Reymptotic properties of the longest run are discussed a aeeet is shown that the ratio of the length of the fOngest run and the logarithm of the total number of Sbosevations converges to ~1/log » a.s. where i denotes fhe largest eigenvalue of the matrix Ml of transition probabilities from R to R. This is the generalization pretne similar result for the case of i i d observations, Ghich was first treated by P-Erdés-A.Rényi [1]. 1, INTRODUCTION form a homogeneous irreducible Let tyefgeeer En Markov chain with finite state space tyeeees) and transition matrix f(y a)x,1es, Furthermore ist ® denote a proper subset of S, with jRl=r. We will use the following notations: 1: (Py,1)\,1eR the transition matrix from R to Ry Aqres+yAg the eigenvalues of mM with 4 multiplicities hy,+++;hg- Here obviously .E,hy=r- m 1 Gromann et ade), Probably ond Stott! Inference, 23-230. Copyright © 1982 by D. Reidel Pulhing Compan. a 1. KUSOLTTSCH Let furthermore y(n) :=max{NENU{O}:31€(0 eR}. 2 AMON) Eg Ree Ean So v(n) denotes the length of the longest run of ' being in R during the first m observations of the Markov chain. Our main result is the following: 5 vin) 1 P(lim Toh acs 2. RESULTS Pirst we will give upper and lower bounds for the probability that v(n) exceeds a given length N. Lemma 1: With the assumptions and notations given so far, there exists some constant C such that for every integer Pivinyamiscma§, where demax [141+ Remark: Since R is a proper subset of the state~ space of an irreducible Markov chain, at least one row-aun in I must be smaller than one. It follows from the Frobenius-theorem (see e.g. Gantmacher [2]), that ocnct mM Proof: Let : Pa jm(K) =P (Egg PKs Eg ge geRe e+ Egg ER) and HUB (1) pe rPy y(8)) LOE MET, oN yL=Oy- ++ pneM,KES:~ By Py qtPy mig We denote the restriction of Py, to Re LONGEST RUNS IN MARKOV CHAINS ns ‘Then we get BN an PCo(M) NDS EGP (Eg gy ERe ooo E54 1 RIA LE (io EP. Ker iN or in vector notation with 7=(1,...,1) being the r-dimensional vector of unit components: et eee POMS ES Pa ywi Here and in the following x", A” always denote the transpose to a vector x or a matrix A. Recause of PEP er OP one gets Pa wePy nat! and finally Payee, get This yields aon : Peotmanyend Pg yt! isn TH softs As is well known (see e.g. Gantmacher [2}) the powers of T can be represented in the form aq hint ME, Ey UraT a O45 and the matrices Uj, do not depend on m. Taking into consideration inequality (1), this induces the existence of a constant © such that Povinjanrsner® o ro get a lower bound, one has to make a very natural restriction ne N. KUSOLITSCH If ty ,fgr+++ is a periodic Markow chain with period 5, then the states can be divided into é disjoint sets +1B, such that p, ,=0 unless KEB,,1€B,,,, for some 1,1Si<é, or k€B,,1€B,. If there is a t(1,.-./8) such that RNB,=@ then the time, for which the Markov : chain can remain in R can’t be longer than ¢. So we may formulate Lemma 2 in the following way. Lemma 2: Let £4/Cye++. be a homogeneous irreducible Markov chain with finite state space $ and Raga proper subset of § such as BgiR+O for every Bg/g=1,---/4 de- fined above then there is a positive constant K so that for all large enough integers N N P(v(n)2N) 21 -exp (-KAE-) holds true. Remark: If é=1 we define By:=S, so that the case of an aperiodic chain need not be treated seperately. Proof: We may assume without loss of generality, that there exist numbers 89,51, WBerT1 rere /ES, such that BoinOKry $8;

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