Data-Based Inference of Generators for Markov Jump Processes Using Convex Optimization

DOI10.1137/080735977zbMath1182.62163OpenAlexW1964765041MaRDI QIDQ3653215

Eric Vanden-Eijnden, Daan Crommelin

Publication date: 21 December 2009

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1052a22b8380d15ade2408b5a362fac6e6764ae1

zbMATH Keywords

generatorestimationquadratic programMarkov jump process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Quadratic programming (90C20) Numerical analysis or methods applied to Markov chains (65C40) Transition functions, generators and resolvents (60J35)

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