Bayesian bootstrap clones for finite state markov chains

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2 Scopus citations


We use the Bayesian bootstrap clones procedure developed by Lo (1991) to simulate the posterio distributions of the transition probabilities, the stationary probabilities and the cdf of the first hitting tim of a specific state for a finite state ergodic Markov chain. The large sample theory shows that, with; conjugate prior on the transition probability, both the posterior distribution and the Bayesian bootstrap clones procedure are first-order consistent, but the second order of the Bayesian bootstrap clones depend on the skewness of the random variables generated in the procedure. Small sample cases of the BAYESIAN BOOTSTRAP clones are also studied by simulation.

Original languageEnglish
Pages (from-to)289-298
Number of pages10
JournalJournal of Statistical Computation and Simulation
Issue number3-4
StatePublished - Dec 1995


  • Bayesian bootstrap clones
  • conjugate prior
  • Markov chain
  • stationary probability
  • transition probability


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