A Central Limit Theorem for Absorbing Markov Chains with r Absorbing States
Basel M. Al-Eideh · Journal of Information and Optimization Sciences · 1994
A central limit theorem is obtained for a sequence of random variables defined on a finite absorbing Markov chains. We consider absorbing chains with r absorbing states, r>1, conditional on an eventual absorption into a specified state. The transition count for such a chain when suitably scaled is found to follow a multivariate normal distribution asymptotically.