Approximating multivariate Markov chains for bootstrapping through contiguous partitions

DOI10.1007/S00291-015-0397-8MaRDI QIDQ2516643zbMATH OpenOpenAlexFDO

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

Publication date 3 August 2015

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/18087593584ac08c1c608c1a96643256f6584e9de6e91379b065c931271a6821/9299670/ORSpectrum%20for%20LSBU.pdf

zbMATH Keywords

multivariate Markov chainsbootstrappingtabu searchheuristic algorithmscontiguous statesstock and electricity prices and volumes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Approximation methods and heuristics in mathematical programming (90C59) Microeconomic theory (price theory and economic markets) (91B24)

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• Bootstrap Methods for Markov Processes
• Bootstrap in Markov-sequences based on estimates of transition density
• Bootstrap methods: another look at the jackknife
• Bootstrapping Markov chains: Countable case
• Bootstraps for time series
• Estimating the dimension of a model
• Higher-order multivariate Markov chains and their applications
• Modeling by shortest data description
• Nonlinear multiobjective optimization
• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• On the estimation of the order of a Markov chain and universal data compression
• Order Estimation of Markov Chains
• Relevant states and memory in Markov chain bootstrapping and simulation
• Strongly consistent code-based identification and order estimation for constrained finite-state model classes
• The consistency of the BIC Markov order estimator.
• The jackknife and the bootstrap for general stationary observations
• Variable length Markov chains

Cited in

(5)

• Financial optimization: optimization paradigms and financial planning under uncertainty
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• Approximating Markov chains for bootstrapping and simulation
• A tabu search heuristic procedure in Markov chain bootstrapping

Describes a project that uses

Uses Software

• Tabu search
• boot

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