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

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.

AuthorMarius Pfeuffer
Date of publication2016-09-13 21:19:15
MaintainerMarius Pfeuffer <marius.pfeuffer@fau.de>

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