In this article, we deal with a class of discrete-time reliability models. The failures are assumed to be generated by an underlying time inhomogeneous Markov chain. The multivariate point process of failures is proved to converge to a Poissontype process when the failures are rare. As a result, we obtain a Compound Poisson approximation of the cumulative number of failures. A rate of convergence is provided.
Key-Words Discrete-time multivariate point process, time inhomogeneous Markov chain, Compound Poisson approximation, filtering (AMS 2000)Primary : 60F99, 60G55, 60J10 Secondary : 60F17, 60G42, 60K15, 93E11
IntroductionA basic issue in reliability modeling is what happens when the system becomes reliable. In other words, what becomes the model when the failure parameters tend to be smaller and smaller? We discuss such an issue for a class of reliability models which are based on discrete-time Markov chains. Specifically, we consider a failure process which is generated by the dynamics of a non-homogeneous Markov chain. Clumping of failures is also considered. Such a failure process may be thought of as a discrete-time multivariate point process. Then, we investigate its asymptotic distribution when the failure parameters converge to 0. As it can be expected, the asymptotic distribution is of Poisson-type. Under a condition on the rate of the convergence of the underlying non-homogeneous Markov chain to stationarity, we provide a rate of convergence for the distance in variation. As a result, we obtain a Compound Poisson approximation of the cumulative number of failures. The ergodic and irreducible cases for the limit Markov chain are discussed. The derivation * James Ledoux, INSA 20 avenue des Buttes de Coësmes, 35043 Rennes Cedex, FRANCE; email: james.ledoux@insa-rennes.fr 1 of the main results is based on elementary discrete-time stochastic calculus and on basic convergence results for non-homogeneous Markov chains reported in [HIV76,BDI77]. It is not intended to deal with the mildest assumptions for deriving Poisson limit theorems. The assumptions here, are expected to be easily checked and general enough to be of value in the reliability framework.The problem of the Poisson approximation of a flow of rare events is a very old topic. Our purpose is not to review the huge literature on this topic. We limit ourselves to mentionning standards methods for deriving such Poisson approximations and only discuss the closest works to ours. The counting process associated with a discrete-time point process is nothing else but a sum of dependent random variables. There is a vast literature on limit theorems for such processes, especially on the central limit theorem and functional theorems. In a much more general setting, a complete account for such an "limit theorems approach" is in [JS89]. For a martingale approach of the Poisson approximation of point processes, some specific references are [Bro82, Bro83, KLS83] (see also the references therein). The basic tool is the compensator associated with a point ...