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ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Estimation of Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal and weighted adjustment of matrix logarithm based candidate solutions as in Israel (2001) <doi:10.1111/1467-9965.00114> as well as a quasi-optimization approach. Moreover, the expectation-maximization algorithm and the Gibbs sampling approach of Bladt and Sorensen (2005) <doi:10.1111/j.1467-9868.2005.00508.x> are included.
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Package details |
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| Author | Marius Pfeuffer [aut, cre], Greig Smith [ctb], Goncalo dos Reis [ctb], Linda Moestel [ctb], Matthias Fischer [ctb] |
| Maintainer | Marius Pfeuffer <marius.pfeuffer@fau.de> |
| License | GPL-3 |
| Version | 1.4.3 |
| Package repository | View on CRAN |
| Installation |
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