Total positivity of Markov chains and the failure rate character of some first passage times

Total positivity of Markov chains and the failure rate character of some first passage times

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Article ID: iaor19982943
Country: United Kingdom
Volume: 29
Issue: 3
Start Page Number: 713
End Page Number: 732
Publication Date: Sep 1997
Journal: Advances in Applied Probability
Authors: ,
Abstract:

It is shown that totally positive order 2 (TP2) properties of the infinitesimal generator of a continuous-time Markov chain with totally ordered state space carry over to the chain's transition distribution function. For chains with such properties, failure rate characteristics of the first passge times are established. For Markov chains with partially ordered state space, it is shown that the first passage times have an IFR distribution under a multivariate total positivity condition on the transition function.

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