Model reduction, optimal prediction, and the Mori-Zwanzig representation of Markov chains.

Carolyn L. Beck Sanjay Lall Tzuchen Liang Matthew West

Published in: CDC (2009)

Keyphrases

markov chain
markov model
monte carlo simulation
prediction model
parameter estimation
dynamic programming
probability distribution
statistical model
transition probabilities
probabilistic model
markov processes
transition matrix
markov models
gibbs sampling