Approximating multivariate Markov chains for bootstrapping through contiguous partitions
DOI10.1007/S00291-015-0397-8zbMATH Open1318.91081OpenAlexW1965475730MaRDI QIDQ2516643FDOQ2516643
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
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multivariate Markov chainsbootstrappingtabu searchheuristic algorithmscontiguous statesstock and electricity prices and volumes
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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Cited In (5)
- Relevant states and memory in Markov chain bootstrapping and simulation
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- A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
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