Relevant states and memory in Markov chain bootstrapping and simulation
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Publication:1752182
DOI10.1016/J.EJOR.2016.06.006zbMATH Open1394.90553OpenAlexW2120486698MaRDI QIDQ1752182FDOQ1752182
Paolo Falbo, Cristian Pelizzari, Roy Cerqueti
Publication date: 24 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openresearch.lsbu.ac.uk/download/6066f6adc94dc7b0c9c2418ef24e5cbaf89e262eac2bec58a04d59db77e55abf/734277/Main%20document%20CPL.pdf
Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Markov and semi-Markov decision processes (90C40)
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Cited In (7)
- A blockchain prediction model on time, value, and purchase based on Markov chain and queuing theory in stock trade
- Corrigendum to: ``Relevant states and memory in Markov chain bootstrapping and simulation
- Classifying States of a Finite Markov Chain with Membrane Computing
- On universal algorithms for classifying and predicting stationary processes
- Approximating Markov Chains for Bootstrapping and Simulation
- 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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