A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
نویسندگان
چکیده
منابع مشابه
A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping
Bootstrapping time series is one of the most acknowledged tools to make forecasts and study the statistical properties of an evolutive phenomenon. The idea underlying this procedure is to replicate the phenomenon on the basis of an observed sample. One of the most important classes of bootstrap procedures is based on the assumption that the sampled phenomenon evolves according to a Markov chain...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2016
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-016-2181-9