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On the Joint Distribution of Stopping Times and Stopped Sums in Multistate Exchangeable Trials

Published online by Cambridge University Press:  19 February 2016

M. V. Boutsikas*
Affiliation:
University of Piraeus
D. L. Antzoulakos*
Affiliation:
University of Piraeus
A. C. Rakitzis*
Affiliation:
University of Cyprus
*
Postal address: Department of Statistics and Insurance Science, University of Piraeus, Piraeus 18534, Greece.
Postal address: Department of Statistics and Insurance Science, University of Piraeus, Piraeus 18534, Greece.
∗∗∗∗ Current address: LUNAM Université, Université de Nantes, IRCCyN UMR CNRS 6597, France. Email address: [email protected].
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Abstract

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Let T be a stopping time associated with a sequence of independent and identically distributed or exchangeable random variables taking values in {0, 1, 2, …, m}, and let ST,i be the stopped sum denoting the number of appearances of outcome 'i' in X1, …, XT, 0 ≤ im. In this paper we present results revealing that, if the distribution of T is known, then we can also derive the joint distribution of (T, ST,0, ST,1, …, ST,m). Two applications, which have independent interest, are offered to illustrate the applicability and the usefulness of the main results.

Type
Research Article
Copyright
© Applied Probability Trust 

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