Maximum Entropy Rate Reconstruction of Markov Dynamics

Entropy

Gregor Chliamovitch¹  Alexandre Dupuis¹  Bastien Chopard¹ 

[1] Department of Computer Science, University of Geneva, Route de Drize 7, 1227 Geneva, Switzerland; E-Mails:

关键词: maximum entropy principle;    parameter estimation;    Markov chain;   

DOI  :  10.3390/e17063738

来源: mdpi

【 摘 要 】

We develop ideas proposed by Van der Straeten to extend maximum entropy principles to Markov chains. We focus in particular on the convergence of such estimates in order to explain how our approach makes possible the estimation of transition probabilities when only short samples are available, which opens the way to applications to non-stationary processes. The current work complements an earlier communication by providing numerical details, as well as a full derivation of the multi-constraint two-state and three-state maximum entropy transition matrices.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland