Approximating multivariate Markov chains for bootstrapping through contiguous partitions.
Roy CerquetiPaolo FalboGianfranco GuastarobaCristian PelizzariPublished in: OR Spectr. (2015)
Keyphrases
- markov chain
- steady state
- finite state
- markov process
- monte carlo
- transition probabilities
- monte carlo method
- random walk
- regression model
- information extraction
- monte carlo simulation
- markov model
- stochastic process
- stationary distribution
- sample path
- state space
- confidence intervals
- transition matrix
- clustering algorithm
- probabilistic automata
- markov chain monte carlo
- non stationary
- model selection
- bayesian networks