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.

Author
Marius Pfeuffer
Date of publication
2016-09-13 21:19:15
Maintainer
Marius Pfeuffer <marius.pfeuffer@fau.de>
License
GPL-3
Version
1.0

View on CRAN

Man pages

ciEM
Wald Confidence Interval
ciGS
Equal Tailed Credibility Interval
ctmcd-package
\Sexpr[results=rd,stage=build]{tools:::Rd_package_title("ctmcd")}
gm
Generic Generator Matrix Estimation
gmci
Generic Generator Matrix Confidence / Credibility Interval
gmci.default
Confidence / Credibility Intervals for Generator Matrix...
gmDA
Diagonal Adjustment
gm.default
Generator Matrix Estimation
gmEM
Expectation-Maximization Algorithm
gmGS
Gibbs Sampler
gmQO
Quasi-Optimization
gmWA
Weighted Adjustment
plot.gm
Plot Function for Generator Matrix Estimation Objects
plot.gmci
Plot Function for Generator Matrix Confidence / Credibility...
plotM
Matrix Plot Function
print.gm
Print Method for Generator Matrix Estimation Objects
print.gmci
Print Method for Generator Matrix Confidence / Credibility...
rNijTRiT_ModRej
C++ Based Modified Rejection Sampling
rNijTRiT_Unif
C++ Based Uniformization Sampling
summary.gm
Extended Output for Generator Matrix Estimate Objects
tm_abs
Single Year Corporate Credit Rating Transititions

Files in this package

ctmcd
ctmcd/inst
ctmcd/inst/doc
ctmcd/inst/doc/ctmcd_vignette.R
ctmcd/inst/doc/ctmcd_vignette.html
ctmcd/inst/doc/ctmcd_vignette.Rmd
ctmcd/inst/include
ctmcd/inst/include/ctmcd.h
ctmcd/inst/include/ctmcd_RcppExports.h
ctmcd/src
ctmcd/src/Makevars
ctmcd/src/rNijTRiT.cpp
ctmcd/src/Makevars.win
ctmcd/src/RcppExports.cpp
ctmcd/NAMESPACE
ctmcd/data
ctmcd/data/tm_abs.rda
ctmcd/R
ctmcd/R/gm.R
ctmcd/R/plot.gm.R
ctmcd/R/summary.gm.R
ctmcd/R/ciEM.R
ctmcd/R/ciGS.R
ctmcd/R/plot.gmci.R
ctmcd/R/print.gmci.R
ctmcd/R/gmci.default.R
ctmcd/R/gmGS.R
ctmcd/R/gmEM.R
ctmcd/R/plotM.R
ctmcd/R/gm.default.R
ctmcd/R/gmWA.R
ctmcd/R/gmQO.R
ctmcd/R/RcppExports.R
ctmcd/R/gmDA.R
ctmcd/R/print.gm.R
ctmcd/R/gmci.R
ctmcd/vignettes
ctmcd/vignettes/ctmcd_vignette.Rmd
ctmcd/MD5
ctmcd/build
ctmcd/build/vignette.rds
ctmcd/build/partial.rdb
ctmcd/DESCRIPTION
ctmcd/man
ctmcd/man/gmci.Rd
ctmcd/man/print.gm.Rd
ctmcd/man/rNijTRiT_ModRej.Rd
ctmcd/man/gmDA.Rd
ctmcd/man/gmWA.Rd
ctmcd/man/gmEM.Rd
ctmcd/man/gmci.default.Rd
ctmcd/man/ciEM.Rd
ctmcd/man/rNijTRiT_Unif.Rd
ctmcd/man/gmGS.Rd
ctmcd/man/ciGS.Rd
ctmcd/man/gmQO.Rd
ctmcd/man/plot.gm.Rd
ctmcd/man/ctmcd-package.Rd
ctmcd/man/gm.Rd
ctmcd/man/plot.gmci.Rd
ctmcd/man/gm.default.Rd
ctmcd/man/summary.gm.Rd
ctmcd/man/tm_abs.Rd
ctmcd/man/print.gmci.Rd
ctmcd/man/plotM.Rd