Maximum Entropy Rate Reconstruction of Markov Dynamics
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-06-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/17/6/3738 |