ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Version 1.2

Functions for estimating Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal adjustment, weighted adjustment and quasi-optimization of matrix logarithm based candidate solutions, an expectation-maximization algorithm as well as a Gibbs sampler.

Package details

AuthorMarius Pfeuffer [aut,cre], Greig Smith [ctb], Goncalo dos Reis [ctb]
Date of publication2017-10-09 20:17:21 UTC
MaintainerMarius Pfeuffer <[email protected]>
Package repositoryView on CRAN
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ctmcd documentation built on Oct. 10, 2017, 1:10 a.m.