Approximating Markov chains for bootstrapping and simulation

DOI10.1007/978-3-319-13881-7_41MaRDI QIDQ2833388zbMATH OpenOpenAlexFDO

Authors Roy Cerqueti, Paolo Falbo, Gianfranco Guastaroba, Cristian Pelizzari

Publication date 18 November 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/42713a3017ce7b4c48741a11f5c9d88412c24e4a25ad3f57ae1cef8eb7ed9551/128249/CFGP_Springer_REVISION_28102014_Sottomesso%20e%20Accettato.pdf

zbMATH Keywords

transition probabilitiesbootstrappingMarkov chains

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

Recommendations

• Relevant states and memory in Markov chain bootstrapping and simulation
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• Approximating multivariate Markov chains for bootstrapping through contiguous partitions
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Cites work

• scientific article; zbMATH DE number 3427210 (Why is no real title available?)
• A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS
• A tabu search heuristic procedure in Markov chain bootstrapping
• Bootstrap Methods for Markov Processes
• Bootstrap methods: another look at the jackknife
• Higher-order multivariate Markov chains and their applications
• Relevant states and memory in Markov chain bootstrapping and simulation
• Second-order properties of regeneration-based bootstrap for atomic Markov chains
• Separability Criterion for Density Matrices
• Sieve bootstrap for time series
• Tapered block bootstrap
• Variable length Markov chains

Cited in

(6)

• Corrigendum to: ``Relevant states and memory in Markov chain bootstrapping and simulation
• Relevant states and memory in Markov chain bootstrapping and simulation
• Simulating tail asymptotics of a Markov chain
• A tabu search heuristic procedure in Markov chain bootstrapping
• Approximating multivariate Markov chains for bootstrapping through contiguous partitions
• A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping

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