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1 Distributions of patterns of pair of successes separated by failure runs of length at least k 1 and at most k 2 involving Markov dependent trials: GERT approach Kanwar Sen 1* , Pooja Mohan 2 and Manju Lata Agarwal 3 1 c/o Department of Statistics, University of Delhi, Delhi-7, India, 2 RMS India, A-7, Sector 16, Noida 201 301, India, 3 IIIMIT, Shiv Nadar University, Greater Noida 203207, India Email: [email protected], [email protected], [email protected] Abstract In this paper we use the Graphical Evaluation and Review Technique (GERT) to obtain probability generating functions of the waiting time distributions of 1 st , and m th non- overlapping and overlapping occurrences of the pattern S F FF S k k k k k f f 2 1 2 1 .. , (k 1 >0), involving Homogenous Markov Dependent trials. GERT besides providing visual picture of the system helps to analyze the system in a less inductive manner. Mean and variance of the waiting times of the occurrence of the patterns have also been obtained. Some earlier results existing in literature have been shown to be particular cases of these results. Key Words: Patterns, Non-overlapping, Overlapping, Homogenous Markov Dependence, GERT. 1. Introduction Probability generating functions of waiting time distributions of runs and patterns have been studied and utilized in various areas of statistics and applied probability, with applications to statistical quality control, ecology, epidemiology, quality management in health care sector, biological science to name a few. A considerable amount of literature treating waiting time distributions have been generated, see Fu and Koutras [1], Aki et al.[2], Koutras [3], Antzoulakos and Philippou [4], Aki and Hirano [5], Han and Hirano [6], Fu and Lou [7], etc. The books by Godbole and Papastavridis [8], Balakrishnan and Koutras [9], Fu and Lou [10] provide excellent information on past and current developments in this area. The probability generating function is very important for studying the properties of waiting time distributions of runs and patterns. Once a potentially problem-specific statistic involving runs and patterns has been defined, the task of deriving its distribution can be very complex and nontrivial. Traditionally, combinatorial methods were used to find the exact distributions for the numbers of runs and patterns. By using theory of recurrent events, Feller [11] obtained the probability generating function for waiting time of a success run k S SS A of size k in a sequence of Bernoulli trials. Fu and Chang [12] developed general method based on the finite Markov chain imbedding technique for finding the mean and probability generating functions of waiting time distributions of

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Page 1: Waiting Time Distributions for mth occurrence of …downloads.hindawi.com/journals/jqre/aip/494976.pdf1 Distributions of patterns of pair of successes separated by failure runs of

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Distributions of patterns of pair of successes separated by failure runs

of length at least k1 and at most k2 involving Markov dependent trials:

GERT approach

Kanwar Sen1*

, Pooja Mohan2 and Manju Lata Agarwal

3

1c/o Department of Statistics, University of Delhi, Delhi-7, India,

2RMS India, A-7, Sector 16,

Noida 201 301, India, 3IIIMIT, Shiv Nadar University, Greater Noida 203207, India

Email: [email protected], [email protected],

[email protected]

Abstract

In this paper we use the Graphical Evaluation and Review Technique (GERT) to obtain

probability generating functions of the waiting time distributions of 1st, and m

th non-

overlapping and overlapping occurrences of the pattern SFFFSkkk

kk

f

f

21

21 ..,

(k1>0), involving

Homogenous Markov Dependent trials. GERT besides providing visual picture of the

system helps to analyze the system in a less inductive manner. Mean and variance of the

waiting times of the occurrence of the patterns have also been obtained. Some earlier

results existing in literature have been shown to be particular cases of these results.

Key Words: Patterns, Non-overlapping, Overlapping, Homogenous Markov

Dependence, GERT.

1. Introduction

Probability generating functions of waiting time distributions of runs and patterns have

been studied and utilized in various areas of statistics and applied probability, with

applications to statistical quality control, ecology, epidemiology, quality management in

health care sector, biological science to name a few. A considerable amount of literature

treating waiting time distributions have been generated, see Fu and Koutras [1], Aki et

al.[2], Koutras [3], Antzoulakos and Philippou [4], Aki and Hirano [5], Han and Hirano

[6], Fu and Lou [7], etc. The books by Godbole and Papastavridis [8], Balakrishnan and

Koutras [9], Fu and Lou [10] provide excellent information on past and current

developments in this area.

The probability generating function is very important for studying the properties of

waiting time distributions of runs and patterns. Once a potentially problem-specific

statistic involving runs and patterns has been defined, the task of deriving its distribution

can be very complex and nontrivial. Traditionally, combinatorial methods were used to

find the exact distributions for the numbers of runs and patterns. By using theory of

recurrent events, Feller [11] obtained the probability generating function for waiting time

of a success run k

SSSA of size k in a sequence of Bernoulli trials. Fu and Chang

[12] developed general method based on the finite Markov chain imbedding technique for

finding the mean and probability generating functions of waiting time distributions of

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compound patterns in a sequence of i.i.d. or Markov dependent multi-state trials. Ge and

Wang [13] studied the consecutive-k-out-of-n: F system involving Markov Dependence.

Graphical Evaluation and Review Technique (GERT) has been a well-established

technique applied in several areas. However, application of GERT in reliability studies

has not been reported much. It is only recently that Cheng [14] analyzed reliability of

fuzzy consecutive-k-out-of-n:F system using GERT. Agarwal et al. [15-16], Agarwal &

Mohan [17] and Mohan et al. [18] have also studied reliability of m -consecutive- k -out-

of- n :F systems and its various generalizations using GERT, and illustrated the efficiency

of GERT in reliability analysis. Mohan et al. [19] studied waiting time distributions of

1st, and m

th non-overlapping and overlapping occurrences of the pattern SFFFS

k

k

... ,

involving Markov dependent trials, using GERT. In this paper, probability generating

functions of the waiting time distributions of 1st, and m

th non-overlapping and

overlapping occurrences of a pattern involving pair of successes separated by a run of

failures of length at least k1 and at most k2, SFFFSkkk

kkf

f

21

21 ..,

(k1>0), involving

Homogenous Markov Dependence, i.e. probability that component i fails depends only

upon the state of component (i – 1) and not upon the state of the other components, (Ge

and Wang [13]) have been studied using GERT. Mean and variance of the time of their

occurrences can then be obtained easily. Some earlier results existing in literature have

been shown to be particular cases.

2. Notations and Assumptions

SFFFSkfkk

kk

f 21

21

..., : Pair of successes separated by a run of failures of length at least

1k and at most 2k , 01 k

iX : indicator random variable for state of trial i , iX 0 or 1 according as trial i is

success or failure

00 ,qp : Pr{ 01 X }; 00 1 pq

11 , qp : Pr { 0iX │ 01 iX }, probability that trial i is a success given that preceding

trial ( i – 1) is also a success, for ,3,2i ; 1q = 11 p

22 , qp : Pr { 0iX │ 11 iX }, probability that trial i is a success given that preceding

trial ( i – 1) is a failure, for ,3,2i ; 2q = 21 p .

3. Brief Description of GERT and Definitions

GERT is a procedure for the analysis of stochastic networks having logical nodes (or

events) and directed branches (or activities). It combines the disciplines of flow graph

theory, MGF (Moment Generating Function) and PERT (Project Evaluation and Review

Technique) to obtain a solution to stochastic networks having logical nodes and directed

branches. The nodes can be interpreted as the states of the system and directed branches

represent transitions from one state to another. A branch has the probability that the

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activity associated with it will be performed. Other parameters describe the activities

represented by the branches.

A GERT network in general contains one of the following two types of logical nodes

(Fig.1):

(a) Nodes with Exclusive-Or input function and Deterministic output function.

(b) Nodes with Exclusive-Or input function and Probabilistic output function.

Exclusive-Or input: The node is realized when any arc leading into it is realized.

However, one and only one of the arcs can be realized at a given time.

Deterministic output: All arcs emanating from the node are taken if the node is realized.

Probabilistic output: Exactly one arc emanating from the node is taken if the node is realized.

(a) Deterministic output (b) Probabilistic output

Fig. 1 Type of GERT nodes.

In this paper type (b) nodes are used.

The transmittance of an arc in a GERT network, i.e., the generating function of the

waiting time for the occurrence of required system state is the corresponding W-function.

It is used to obtain the information of a relationship, which exists between the nodes.

If we define )( rsW , as the conditional W function associated with a network when the

branches tagged with a z are taken r times, then the equivalent W generating function can

be written as:

r

r

zrsWzsW

0

)(),( . (1)

The function ),0( zW is the generating function of the waiting time for the network

realization.

Mason’s Rule (Whitehouse [20], pp 168-172): In an open flow graph, write down the

product of transmittances along each path from the independent to the dependent

variable. Multiply its transmittance by the sum of the nontouching loops to that path. Sum

these modified path transmittances and divide by the sum of all the loops in the open flow

graph yielding transmittance T as:

(path* nontouching loops)

T =loops

(2)

where loops=1-( first order loops)+( second order loops)-...

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nontouching loops =1-( first order nontouching loops)+( second order nontouching loops)

- ( third order nontouching loops)+...

For more necessary details about GERT, one can see Whitehouse [20], Cheng [14] and

Agarwal et al. [15].

4. Waiting Time Distribution of the Pattern 21 kk

f

,

Theorem 4.1: ),0(

21

zW SFFFS

kfkk

, the probability generating function for the waiting time

distribution of the 1st occurrence of the pattern 21 kk

f

, involving Homogenous Markov

Dependence is given by

)1)(1(

)))(1())(1((),0(

11

2212

2212

122

21122

12

11

221202

20

1122

1211

21

kkkk

kkkk

SFFFSzqpqzqpqzpqzpqzpzqzq

zqzqpqzqzpzpqzW

kfkk

.

(3)

Then, )]([ 21 ,kk

fWE E [minimum number of trials required to obtain the pattern 21 kk

f

, ]

)1(

)1)(()(1

2221

1

22021212

121

121

kkk

kkk

qqpq

qpqqqpqq (4)

and )]([ 21 ,kk

fWVar 2,,

1

2

FFFS

2

)]([)]([

),0(W

21212kfk1k kk

f

kk

f

z

S

WEWEdz

zd

. (5)

The GERT network for this pattern is represented by Fig. 2 where each node represents a

specific state as described below:

S : initial node

1A : a trial resulting in failure

0i : a trial resulting in success corresponding to beginning of the ith

occurrence of the

pattern 21 kk

f

, , m,,21i

1 : a component is in failed state preceded by working component

j : jth

contiguous failed trial preceded by a success trial, 1k,k,1,k,k1,k,2,j 22111

0i : i

th occurrence of the required pattern, m,,21i .

There are in all k2+5 nodes designated as S, 1A, 01, 1, 2,, k1-1, k1, k1+1,k2-1, k2 ,

k2+1 and 01 representing specific states of the system, i.e. a sequence of Homogenous

Markov Dependent trials. GERT network can be summarized as: If the first trial results in

failure then state 1A is reached from S with conditional probability 0q otherwise state 01

with conditional probability 0p . Further, if the preceding trial is failure (state 1A)

followed by a contiguous success trial then state 01 is reached from state 1A with

conditional probability 2p otherwise it continues to move in state 1A with conditional

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probability 2q . State 01 represents first occurrence of a success trial (may or may not be

preceded by failed trials) and if next contiguous trial(s) is (are) also success then it

continues to move in state 01 with conditional probability 1p otherwise it moves in state

1 with conditional probability 1q . Again if the next contiguous trial results in failure then

system state 2 occurs with conditional probability 2q otherwise state 01 with conditional

probability 2p . Similar procedure is followed till k1 contiguous failed trials occur

preceded by a success trial. Now, if the next contiguous trial is failure then state k1+1 is

reached with conditional probability 2q otherwise state 01, first occurrence of required

pattern. However, if the system is in state k1+1 and next contiguous trial is failure system

moves to state k1+2 with conditional probability 2q . Again a similar procedure is followed

till node k2. However, if there occur 112 kk contiguous failed trials after state k1 then

system moves to node k2+1 and continues to move in that state until a success trial occurs

at which it moves to state 01 and again a similar procedure is followed for the remaining

trials till state 01, first occurrence of the required pattern. Details on the derivation of the

theorem are given in the Appendix.

Fig. 2. GERT network representing 1st occurrence of the pattern SFFFS

kkk

kk

f

f 21

21 ...,

Theorem 4.2: m

no

SFFFSzW

kfkk

),0(

21

, the probability generating function for the waiting time

distribution of the mth

non-overlapping occurrence of the pattern 21 kk

f

, involving

Homogenous Markov Dependence is given by

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mkkkkm

m

mkkkk

m

no

SFFFSzqpqzqpqzpqzpqzpzqzq

zpqzqzp

zqzqqpzqzpzpq

zWkfkk )--(1)-(1

))(1(

}))(1{( ))-(1(

),0(2

22111

2212

212

12122

1-22121

12

11

212202

20

2211

1211

21

. (6)

Then, )]([ 21,kk

fnoWE = E[minimum number of trials required to obtain the m

th non-

overlapping occurrence of pattern 21 kk

f

, ]

= )1(

)())()(1(1

2221

2122101

1

221

121

121

kkk

kkk

qqpq

pqqmpqmppqqq (7)

and )]([ 21 ,kk

fnoWVar can be obtained by applying (5).

The GERT network for 2m (say) non-overlapping occurrence of the pattern 21 kk

f

, is

represented by Fig. 3. Each node represents a specific state as described earlier for Fig. 2.

Fig. 3. GERT network representing mth

( m=2,here) non-overlapping occurrence of the pattern

SFFFSkkk

kk

f

f

21

21 ...,

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Theorem 4.3: m

o

SFFFSzW

kfkk

),0(

21

, the probability generating function for the waiting time

distribution of the mth

overlapping occurrence of the pattern 2,1 kk

f involving Homogenous

Markov Dependence is given by

mkkkk

mkkkk

m

o

SFFFSzqpqzqpqzpqzpqz-pzq-zq-

zqzqpqzqzpzpqzW

kfkk ))(1(1

}))(1{( ))-(1(),0(

11

221

2

221

2

12

2

21122

1

2

11

22120

2

20

1122

1211

21

.

(8)

Then, )]([ 21,kk

foWE =E [minimum number of trials required to obtain the m

th overlapping

occurrence of pattern 21 kk

f

, ]

=)1(

)())(1(1

2221

21220

1

221

121

121

kkk

kkk

qqpq

pqqmpqqqq (9)

and )]([ 21 ,kk

foWVar can be obtained by applying (5).

The GERT network for mth

( 2m , say), overlapping occurrence of the pattern 2,1 kk

f is

represented by Fig.4. Each node represents a specific state as described earlier for Fig. 2.

Fig. 4. GERT network representing the mth

(m =2, here) overlapping occurrence of the pattern

SFFFSkkk

kk

f

f

21

21 ...,

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Particular cases

(i) For 221 kkkk f , pppp 210 and qqqq 210 , in the pattern

2,1 kk

f , i.e., for a run of at most 2k failures bounded by successes, the probability

generating function becomes

)))(1((1()1(

))(1()(),0(

1

12

2-

k

k

S

k

FFFSqzpzzqz

qzpzzW

, (10)

verifying the results of Koutras [3, Theorem 3.2].

(ii) If 11 k , kkk f 2 ,

i.e., pair of successes are separated by a run of failures of length at least one and at most

k, i.e., SFFFSk

1

.. then (3), (6) and (8), respectively, become

)1)(1(

)))(1())(1((),0(

2221

212122

22

12202

20

1

kk

k

SFFFSzqpqzpqzpzqzq

zqzqpzqzpzpqzW

k

. (11)

mkkm

mkmno

SFFFSzqqpzqpzqzpzq

zqzpqzqzpzpqzqzpzpqW

k)1()1(

)))(1(())1())(1((

2212

221212

22

211

212

21202

20

1

(12)

and

mkk

mko

zqqpzpqzpzqzq

zqzqpzqzpzpqzW

S

k

FFFS )---)(1-(1

))(-(1))(-(1(),0(

2212

212122

22

12202

20

1

. (13)

(iii) If kk 1 and 2k , then it reduces to the pattern SFFFSk

k

... , i.e.,

)))(1(1()1(

)())1((),0(

12

221

212122

11

212202

20

k

kk

SFFFSzqzpqzpqzpzqzq

zqqpzqzpzpqzW

k

(14)

(iv) If kkkk f 21 ,

then (3), (6), (8) reduce to the results of Mohan et al. [19], i.e.

11

2212

2212

212

1212

11

221202

20

1

)())1((),0(

k-kkk

k-k

SFFFSzqp qzqpqzqpzqp-zpzq-

zqpqzq-zpzpqzW

k

(15)

mkk-kk

mmkk-

mno

zqpqzqpqzpqzpqzpzq

zqpzqzpzqqpzqzpzpqzW

S

k

FFFS ] --[1

])(1[)( ))-(1(),0(

11

2212

2212

122

2112

121221

11

212202

20

(16)

and

mk-kkk

mmkk-

mo

zqpqzqpqzpqzpqzpzq

zqzqqpzqzpzpqzW

S

k

FFFS ) --(1

)(1)( ))-(1(),0(

11

2212

2212

122

2112

12

11

212202

20

. (17)

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5. Conclusion

In this paper we proposed Graphical Evaluation and Review Technique (GERT) to study

probability generating functions of the waiting time distributions of 1st, and m

th non-

overlapping and overlapping occurrences of the pattern SFFFSkkk

kk

f

f

21

21 ..,

(k1>0), involving

homogenous Markov dependent trials. We have also demonstrated the flexibility and

usefulness of our approach by validating some earlier results existing in literature as

particular cases of these results.

APPENDIX: Proof of Theorems

From the GERT network (Fig. 2), it can be observed that there are 2(k2-k1+1) paths to reach

state 01 from the starting node S:

No. Paths Value

1 S to 1A to 01 to 1 to 2 to k1 to 0

1

112

2210 )())()((

kzqzpzqzq

2 S to 1A to 01 to 1 to 2 to k1 to k1+1 to 0

1 1

22

210 )())()((k

zqzpzqzq

3 S to 1A to 01 to 1 to 2 to k1 to k1+1 to k1+2 to 0

1

112

2210 )())()((

kzqzpzqzq

k2 -k1 S to 1A to 01 to 1 to 2 to k1 to to k2 -1

to 01

222

2210 )())()((

kzqzpzqzq

k2 -k1+1 S to 1A to 01 to 1 to 2 to k1 to to k2-1 to k2

to 01

122

2210 ())()((

kzqzpzqzq )

k2 -k1+2 S to 01 to 1 to 2 to k1 to 01

112210 ))()()((

kzqzpzqzp

k2 -k1+3 S to 01 to 1 to 2 to k1 to k1+1 to 01 1

2210 ))()()((k

zqzpzqzp

k2 -k1+4 S to 01 to 1 to 2 to k1 to k1+1 to k1+2 to 01

112210 ))()()((

kzqzpzqzp

2k2-2k1+1 S to 01 to 1 to 2 to k1 to to k2 -1 to 0

1

222210 ))()()((

kzqzpzqzp

2(k2-k1+1) S to 01 to 1 to 2 to k1 to to k2-1 to k2 to 01

122210 ))()()((

kzqzpzqzp

Now, to apply Mason’s Rule, we must also locate all the loops. However only first and

second order loops exist. First order loops are given as:

No. First order loops Value

1 1A to 1

A )( 2 zq

2 01 to 01 )( 1zp

3 01 to 1 to 01 ))(( 21 zpzq

4 01 to 1 to 2 to 01 ))()(( 221 zqzpzq

k1+1 01 to 1 to 2 toto k1-1 to 01 21

221 ))()((k

zqzpzq

k1+2 01 to 1 to 2 toto k1-1 to k1 to k2+1 to 01 2221 ))()((

kzqzpzq

k1+3 k2+1 to k2+1 )( 2 zq

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However, paths at Nos. k2-k1+2, k2-k1+3,, 2(k2-k1+1) also contain first order non-

touching loop (1A to 1

A), whose value is given by zq2 . Further, first order loop No. k1+3

forms first order non-touching loop to both the paths, whose value is given by zq2 .

Also second order loops corresponding to first order loops from No. 2 to No. k1+3 are

given as (since first order loop no. 1, i.e. 1A

to 1A forms non-touching loop with each of

the other mentioned first order loops and can be taken separately , Whitehouse (1973) pp.

257):

Second order loops Value

No. 2 and No. k1+3 ))(( 21 zqzp

No. 3 and No. k1+3 )zqzpzq 221 )()((

No. 4 and No. k1+3 2221 )()(( )zqzpzq

No. k1+1 and No. k1+3 11

221 ))()((k

zqzpzq

Thus, by applying Mason’s rule we obtain the following generating function )0(

21

zW S

kfkk

FFFS ,

of the waiting time for the occurrence of the pattern 21 kk

f

, as:

)---)(1-(1

}])()()({1

z[ )-))(1-(1(

z),0(222

221

1111221

2

21

2

12122

1-22

2

22

1111221220

2

20

21

kkkk

kk

kk

S

kfkk

FFFSzqpqzqpqzpqzpqzpzqzq

zqzqzq

qpqzqzqzpzpq

W

which yields (3).

Similarly, for the mth

non-overlapping occurrence of the pattern (Theorem 4.2) once

when state 01 is reached, i.e. the first occurrence of required pattern, if the next

contiguous trial results in success then state 02 is directly reached with conditional

probability 1p otherwise state 1A with conditional probability 1q and continues to move

in that state with conditional probability 2q until a success occurs at which it moves to

state 02 with conditional probability 2p . Thus, there are two paths to reach node 02 from

node 01. Now, on reaching node 02 again the same procedure is followed for the second

occurrence of the required pattern, represented by node 02. Thus, for the second

occurrence of the pattern node 01 acts as a starting node following a similar procedure as

for the first occurrence.

It can be observed from the GERT network that there are 2

12 )1.(4 kk paths (in general

for any m there are mm kk )1(2.2 12

1 paths) for reaching state 02 (0

m) from the starting

node S. Thus, proceeding as in Theorem 4.1 and applying Mason’s rule we obtain the

following generating function 2

21

),0( zW no

S

kfkk

FFFS

of the waiting time for the 2nd

non-

overlapping occurrence of the required pattern 21 kk

f

, :

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.)--(1)-(1

}))(1{( ))(1( ))-(1(),0(

22221

11

2212

212

12122

2

212

11

2122

2121202

202

2211

1211

21

kkkk

kkkkno

SFFFSzqpqzqpqzpqzpqzpzqzq

zqzqqpzpqzqzpzqzpzpqzW

kfkk

Proceeding similarly as above, we can obtain generating function mno

zWS

kfkk

FFFS),0(

21

as

given by (6).

For mth

overlapping occurrence of the pattern (Theorem 4.3), proceeding as in Theorem

4.1, once when state 01 is reached, i.e. the first occurrence of the required pattern, if the

next contiguous trial results in failure then state 1 is directly reached with conditional

probability 1q otherwise it continues to move in state 01 with conditional probability 1p

until a failed trial occurs resulting in occurrence of state 1 with conditional probability 1q .

Now, on reaching node 1 if next contiguous trial results in failure then state 2 occurs with

conditional probability q2 otherwise state 01 with conditional probability p2. Again similar

procedure is followed for the second occurrence of the required pattern. Thus, for the

second occurrence, node 01 acts as a starting node following a similar procedure as for

the first occurrence (except that there is only one path to reach node 1 from node 01).

It can be observed that in the GERT network for 2nd

overlapping occurrence of the

required pattern (Fig. 4), there are 2

12 )1.(2 kk (in general for any m, there

are mkk )1.(2 12 ) paths for reaching state 02 (0

m) from the starting node S.

Now pairs (01, 01), (0

1, 0

2) are identical. Thus, proceeding as in the Theorem 4.1 and by

applying Mason’s rule the generating function 2),0(

21

zWo

S

kfkk

FFFS

of the waiting time for

the 2nd

overlapping occurrence of the required pattern is given by:

21111221

222221

2

21

2

12122

21122

111122120

2

20

2

21]--)[(1-(1

}))(1{( ))-(1(),0(

kkkk

kkkk

o

S

kfkk

FFFSzqpqzqpqzpqzpqzpzqzq

zqzqpqzqzpzpqzW

.

Similarly, proceeding as above we can obtain generating function mo

zWS

kfkk

FFFS),0(

21

as

given by (8).

Acknowledgments: The authors would like to express their sincere thanks to the editor

and referees for their valuable suggestions and comments which were quite helpful to

improve the paper.

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