A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping

DOI10.1007/s10479-016-2181-9zbMath1406.91302OpenAlexW2338459588MaRDI QIDQ513556

Andrea Scozzari, Roy Cerqueti, Paolo Falbo, Federica Ricca, Cristian Pelizzari

Publication date: 7 March 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/7b2decf7848b977438f274267df2673e779c30774e0455d039a2d98a843b2e1f/5598788/MILP%20for%20LSBU.pdf

zbMATH Keywords

Markov chainsmixed integer linear programmingcontinuous-valued stochastic processestime series bootstrappingtransition probability matrix compression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84) Mixed integer programming (90C11) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Uses Software

• bootstrap

Cites Work

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• The Kullback–Leibler Divergence Rate Between Markov Sources
• A Compression Algorithm for Probability Transition Matrices
• Optimal Kullback-Leibler Aggregation via Spectral Theory of Markov Chains

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