Direct statistical inference for finite Markov jump processes via the matrix exponential

Sherlock, Chris (2021) Direct statistical inference for finite Markov jump processes via the matrix exponential. Computational Statistics. ISSN 0943-4062 (In Press)

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Abstract

Given noisy, partial observations of a time-homogeneous, finite-statespace Markov chain, conceptually simple, direct statistical inference is available, in theory, via its rate matrix, or infinitesimal generator, Q, since exp (Qt) is the transition matrix over time t. However, perhaps because of inadequate tools for matrix exponentiation in programming languages commonly used amongst statisticians or a belief that the necessary calculations are prohibitively expensive, statistical inference for continuous-time Markov chains with a large but finite state space is typically conducted via particle MCMC or other relatively complex inference schemes. When, as in many applications Q arises from a reaction network, it is usually sparse. We describe variations on known algorithms which allow fast, robust and accurate evaluation of the product of a non-negative vector with the exponential of a large, sparse rate matrix. Our implementation uses relatively recently developed, efficient, linear algebra tools that take advantage of such sparsity. We demonstrate the straightforward statistical application of the key algorithm on a model for the mixing of two alleles in a population and on the Susceptible-Infectious-Removed epidemic model.

Item Type:
Journal Article
Journal or Publication Title:
Computational Statistics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
153753
Deposited By:
Deposited On:
12 Apr 2021 15:35
Refereed?:
Yes
Published?:
In Press
Last Modified:
23 Jun 2021 04:25