Generalizing HMMs to Continuous Time for Fast Kinetics: Hidden Markov Jump Processes.

The hidden Markov model (HMM) is a framework for time series analysis widely applied to single-molecule experiments. Although initially developed for applications outside the natural sciences, the HMM has traditionally been used to interpret signals generated by physical systems, such as single molecules, evolving in a discrete state space observed at discrete time levels dictated by the data acquisition rate. Within the HMM framework, transitions between states are modeled as occurring at the end of each data acquisition period and are described using transition probabilities. Yet, whereas measurements are often performed at discrete time levels in the natural sciences, physical systems evolve in continuous time according to transition rates. It then follows that the modeling assumptions underlying the HMM are justified if the transition rates of a physical process from state to state are small as compared to the data acquisition rate. In other words, HMMs apply to slow kinetics. The problem is, because the transition rates are unknown in principle, it is unclear, a priori, whether the HMM applies to a particular system. For this reason, we must generalize HMMs for physical systems, such as single molecules, because these switch between discrete states in "continuous time". We do so by exploiting recent mathematical tools developed in the context of inferring Markov jump processes and propose the hidden Markov jump process. We explicitly show in what limit the hidden Markov jump process reduces to the HMM. Resolving the discrete time discrepancy of the HMM has clear implications: we no longer need to assume that processes, such as molecular events, must occur on timescales slower than data acquisition and can learn transition rates even if these are on the same timescale or otherwise exceed data acquisition rates.