Abstract
The sojourn time that a Markov chain spends in a subset E of its state space has a distribution that depends on the hitting distribution on E and the probabilities (resp. rates in the continuous-time case) that govern the transitions within E. In this note we characterise the set of all hitting distributions for which the sojourn time distribution is geometric (resp. exponential).
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
1 articles.
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