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

DOI10.1016/J.JCP.2006.01.045MaRDI QIDQ2508906zbMATH OpenOpenAlexFDO

Authors 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

atmospheric flowseigenspectrumembedding probleminverse problemsmolecular dynamicsnumerical examplesquadratic programmingstochastic matrixtimeseries analysis

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Quadratic programming (90C20)

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Cites work

• Continuous-time Markov chains. An applications-oriented approach
• Extracting macroscopic stochastic dynamics: Model problems
• Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
• Finite Markov Chains and Algorithmic Applications
• scientific article; zbMATH DE number 3793774 (Why is no real title available?)
• Markov Chains
• Numerical Optimization
• Statistical Inference about Markov Chains
• Statistical Inference for Discretely Observed Markov Jump Processes
• The imbedding problem for finite Markov chains
• The reduction of complex dynamical systems using principal interaction patterns

Cited in

(13)

• Information theory, model error, and predictive skill of stochastic models for complex nonlinear systems
• Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
• Statistical inference for Markov chains with applications to credit risk
• Generator estimation of Markov jump processes
• Past states of continuous-time Markov models for ecological communities
• Markov chain stochastic parametrizations of essential variables
• Principal dynamical components
• A Dirichlet Process Gaussian State Machine Model for Change Detection in Transient Processes
• Minimal cover of high-dimensional chaotic attractors by embedded recurrent patterns
• Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part I: Theory
• Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part III: Application to the Cane-Zebiak model of the El Niño-southern oscillation
• Response and sensitivity using Markov chains
• Non-parametric estimation of stochastic differential equations from stationary time-series

Describes a project that uses

Uses Software

• CHARMM

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