Maximum Entropy Rate Reconstruction of Markov Dynamics
AbstractWe 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. View Full-Text
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Chliamovitch, G.; Dupuis, A.; Chopard, B. Maximum Entropy Rate Reconstruction of Markov Dynamics. Entropy 2015, 17, 3738-3751.
Chliamovitch G, Dupuis A, Chopard B. Maximum Entropy Rate Reconstruction of Markov Dynamics. Entropy. 2015; 17(6):3738-3751.Chicago/Turabian Style
Chliamovitch, Gregor; Dupuis, Alexandre; Chopard, Bastien. 2015. "Maximum Entropy Rate Reconstruction of Markov Dynamics." Entropy 17, no. 6: 3738-3751.