Observation uncertainty in reversible Markov chains

P. Metzner, M. Weber, C. Schütte – 2010

In many applications one is interested in finding a simplified model which captures the essential dynamical behavior of a real life process. If the essential dynamics can be assumed to be (approximately) memoryless then a reasonable choice for a model is a Markov model whose parameters are estimated by means of Bayesian inference from an observed time series. We propose an efficient Monte Carlo Markov chain framework to assess the uncertainty of the Markov model and related observables. The derived Gibbs sampler allows for sampling distributions of transition matrices subject to reversibility and/or sparsity constraints. The performance of the suggested sampling scheme is demonstrated and discussed for a variety of model examples. The uncertainty analysis of functions of the Markov model under investigation is discussed in application to the identification of conformations of the trialanine molecule via Robust Perron Cluster Analysis (PCCA+).

Titel
Observation uncertainty in reversible Markov chains
Verfasser
P. Metzner, M. Weber, C. Schütte
Datum
2010
Kennung
10.1103/PhysRevE.82.031114
Zitierweise
Phys. Rev. e. Stat. Nonlin. Soft Matter Phys. 2010, 82 (3), 031114
Art
Text
dfg_logo