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Countable state Markov process bootstrap

✍ Scribed by R.J. Kulperger

Book ID
104340710
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
114 KB
Volume
76
Category
Article
ISSN
0378-3758

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✦ Synopsis

Bootstrap methods have been applied to various dependent sequences. Markov processes and Markov chains have a special structure. In particular, Markov chains have a discrete state-space. This paper considers an ergodic countable state-space Markov chain. Given data Xt; t = 0; : : : ; n, one can observe a ΓΏnite number of visited states. This paper proposes a bootstrap method that with probability 1 produces a bootstrap Markov chain that is ergodic. It involves a tuning parameter.

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