Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian - Volkswirtschaftliche Fakultät, … - 2013
Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...