Generator estimation of Markov jump processes

DOI10.1016/j.jcp.2007.07.032zbMath1128.65012OpenAlexW2145432641MaRDI QIDQ2462457

Tobias Jahnke, Evelyn Dittmer, Christof Schütte, Philipp Metzner

Publication date: 30 November 2007

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2007.07.032

zbMATH Keywords

numerical examplesembedding problemmaximum likelihoodEM-algorithmMarkov jump processgenerator estimationexpectation-maximization (EM) algorithmcomparison of method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Transition functions, generators and resolvents (60J35)

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Uses Software

• Gromacs
• EMpht

Cites Work

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• Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
• Identification of almost invariant aggregates in reversible nearly uncoupled Markov chains
• Towards a theory of transition paths
• Fitting timeseries by continuous-time Markov chains: a quadratic programming approach
• Statistical Inference for Discretely Observed Markov Jump Processes
• Statistical Inference in Evolutionary Models of DNA Sequences via the EM Algorithm