Stein's method for geometric approximation

Abstract

The Stein–Chen method for Poisson approximation is adapted to the setting of the geometric distribution. This yields a convenient method for assessing the accuracy of the geometric approximation to the distribution of the number of failures preceding the first success in dependent trials. The results are applied to approximating waiting time distributions for patterns in coin tossing, and to approximating the distribution of the time when a stationary Markov chain first visits a rare set of states. The error bounds obtained are sharper than those obtainable using related Poisson approximations.