From empirical data to continuous Markov processes: a systematic approach

Autor: Lencastre, Pedro, Raischel, Frank, Rogers, Tim, Lind, Pedro G.
Rok vydání: 2015
Předmět:
Zdroj: Phys. Rev. E 93, 032135 (2016)
Druh dokumentu: Working Paper
DOI: 10.1103/PhysRevE.93.032135
Popis: We present an approach for testing for the existence of continuous generators of discrete stochastic transition matrices. Typically, the known approaches to ascertain the existence of continuous Markov processes are based in the assumption that only time-homogeneous generators exist. Here, a systematic extension to time-inhomogeneity is presented, based in new mathematical propositions incorporating necessary and sufficient conditions, which are then implemented computationally and applied to numerical data. A discussion concerning the bridging between rigorous mathematical results on the existence of generators to its computational implementation. Our detection algorithm shows to be effective in more than $80\%$ of tested matrices, typically $90\%$ to $95\%$, and for those an estimate of the (non-homogeneous) generator matrix follows. We also solve the embedding problem analytically for the particular case of three-dimensional circulant matrices. Finally, a discussion of possible applications of our framework to problems in different fields is briefly addressed.
Comment: 12 pages, 2 figures
Databáze: arXiv