Comput Stat 2021 Apr 19:1-25. Epub 2021 Apr 19.
Department of Mathematics and Statistics, Lancaster University, Lancaster, UK.
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, , since is the transition matrix over time . 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 arises from a reaction network, it is usually sparse. Read More