Fitting timeseries by continuous-time Markov chains: a quadratic programming approach

DOI10.1016/j.jcp.2006.01.045zbMath1102.65009OpenAlexW2145242582MaRDI QIDQ2508906

Daan Crommelin, Eric Vanden-Eijnden

Publication date: 20 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.01.045

zbMATH Keywords

quadratic programmingnumerical examplesinverse problemsembedding problemmolecular dynamicsatmospheric flowsstochastic matrixeigenspectrumtimeseries analysis

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) Quadratic programming (90C20) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• CHARMM

Cites Work

• Unnamed Item
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