gmDA | R Documentation |
Function for deriving a Markov generator matrix estimate based on the diagonal adjustment method of Israel et al., 2001
gmDA(tmrel, te, logmethod = "Eigen")
tmrel |
matrix of relative transition frequencies |
te |
time elapsed in transition process |
logmethod |
method for computation of matrix logarithm, by default eigendecomposition is chosen (see |
A candidate solution is derived by the matrix logarithm and then adjusted in order to fulfil the properties of a Markov generator matrix.
generator matrix estimate
Marius Pfeuffer
R. B. Israel et al.: Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings. Mathematical Finance 11(2):245-265, 2001
## Derive matrix of relative transition frequencies
data(tm_abs)
tm_rel=rbind((tm_abs/rowSums(tm_abs))[1:7,],c(rep(0,7),1))
## Derive diagonal adjustment generator matrix estimate
gmda=gmDA(tm_rel,1)
gmda
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