Markov chain approximation in bootstrapping autoregressions
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Cited by:
- Cerqueti, Roy & Falbo, Paolo & Guastaroba, Gianfranco & Pelizzari, Cristian, 2013. "A Tabu Search heuristic procedure in Markov chain bootstrapping," European Journal of Operational Research, Elsevier, vol. 227(2), pages 367-384.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2017.
"Relevant states and memory in Markov chain bootstrapping and simulation,"
European Journal of Operational Research, Elsevier, vol. 256(1), pages 163-177.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013. "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper 46250, University Library of Munich, Germany.
- Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2012. "A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping," Working Papers 67-2012, Macerata University, Department of Finance and Economic Sciences, revised Nov 2012.
- Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2017. "A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping," Annals of Operations Research, Springer, vol. 248(1), pages 163-187, January.
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Keywords
Bootstrap resampling in time series;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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