sample_path_unif2: Simulate a sample path from an endpoint conditioned CTMC by...

In fintzij/ECctmc: Simulation from Endpoint-Conditioned Continuous Time Markov Chains

Description

Simulate a sample path from an endpoint conditioned CTMC by uniformization using pre-computed eigen-values (assumes that all eigenvalues are real).

Usage

sample_path_unif2(a, b, t0, t1, Q, eigen_vals, eigen_vecs, inverse_vecs)

Arguments

a, b	States at the interval endpoints, provided as integers corresponding to rows of the CTMC rate matrix.
t0, t1	times of the interval endpoints
Q	CTMC rate matrix
eigen_vals	vector of eigen values of Q.
eigen_vecs	matrix of eigen vectors of Q.
inverse_vecs	inverse of the eigen vector matrix.

Value

matrix whose first column is the sequence of transition times bookended by interval endpoints, and whose second column is the sequence of states

fintzij/ECctmc documentation built on May 16, 2019, 12:56 p.m.