ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Version 1.1

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
Date of publication2017-04-05 12:57:30 UTC
MaintainerMarius Pfeuffer <marius.pfeuffer@fau.de>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the ctmcd package in your browser

Any scripts or data that you put into this service are public.

ctmcd documentation built on May 29, 2017, 2:26 p.m.