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.

Package details

AuthorMarius Pfeuffer [aut,cre], Greig Smith [ctb], Goncalo dos Reis [ctb], Linda Moestel [ctb], Matthias Fischer [ctb]
MaintainerMarius Pfeuffer <[email protected]>
Package repositoryView on CRAN
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ctmcd documentation built on May 1, 2019, 8:47 p.m.