MCMC_PH: MCMC

In NielsKrarup/phasetypeUtilsUcph: Phase-type Distribution Utilities

Description

Markov Chain Monte Carlo Estimator of functional of underlying Markov jump process underlying a Phase-type distribution conditioned on the absorption time being equal to x = TimePoint.

Usage

MCMC_PH(pi = ErInt, SubIntMat = ErMat, N = 100, BurnIn = NULL,
  ForcePosExitRateStart = F, TimePoint = 0.8, OFun = OtimeSpent, ...)

Arguments

pi	The initial distribution of the underlying Markov jump process.
SubIntMat	The sub-intensity matrix of the underlying Markov jump process.
N	Number of steps in the MCMC algorithm.
BurnIn	Burn In.
ForcePosExitRateStart	Logical, should the first chain be forced to have positive exit rate at end state? Default is FALSE.
TimePoint	Time of absorption conditioned on.
OFun	The functional of the underlying process.
...	additional arguments to be passed on to OFun.

Value

Estimated mean of function Ofun applied to the underlying process.

Examples

MCMC_PH(pi = listAlpha[[4]], SubInt = listS[[4]], N = 1e4, BurnIn = 1e2, TimePoint = 0.8, OFun = OtimeSpent, State = 5)

NielsKrarup/phasetypeUtilsUcph documentation built on June 26, 2019, 2:27 p.m.