matrixdist-package: Statistics for Matrix Distributions

Description Author(s) References

Description

This package is concerned with homogeneous and inhomogeneous phase–type distributions. Methods for functional evaluation, simulation and estimation using the EM algorithm are provided.

Author(s)

Martin Bladt and Jorge Yslas.

Maintainer: Martin Bladt <martinbladt@gmail.com>

References

Asmussen, S., Nerman, O., & Olsson, M. (1996). Fitting phase-type distributions via the EM algorithm. Scandinavian Journal of Statistics, 419-441.

Olsson, M. (1996). Estimation of phase-type distributions from censored data. Scandinavian journal of statistics, 443-460.

Albrecher, H., & Bladt, M. (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56(4), 1044-1064.

Albrecher, H., Bladt, M., & Yslas, J. (2020). Fitting inhomogeneous Phase-Type distributions to data: The univariate and the multivariate case. Scandinavian Journal of Statistics.

Bladt, M., & Yslas, J. (2020). Inhomogeneous Markov Survival Regression Models. arXiv:2011.03219.


matrixdist documentation built on Sept. 5, 2021, 5:26 p.m.