Browsing by Subject "Global memory functional"
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Item Open Access Characteristic of exit moments and models of enlargement of states for finite Markov chains in terms of global memory functionals(Springer, 2000) Anisimov, V. V.; Klygunova, Y. Y.A notion of local- and global-memory functions for discrete-type distributions is introduced by analogy with the notion of the memory for continuous-type distributions introduced in Muth's papers. In the class of PH-distributions (i.e., of distributions of the time of Markov chain exit from a subset of states) the necessary and sufficient conditions are obtained for the case where the exit time has an exponential (continuous-time) or a geometric (discrete time) distribution. A new notion of a global memory functional for decomposition of the state space of a finite Markov chain is introduced. Its properties as a measure of quality of decomposition and enlargement of a state space are studied. The asymptotic optimality is proved. © 2000 Kluwer Academic/Plenum Publishers.