ctmcd
Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Estimation of Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal and weighted adjustment of matrix logarithm based candidate solutions as in Israel (2001) doi:10.1111/1467-9965.00114 as well as a quasi-optimization approach. Moreover, the expectation-maximization algorithm and the Gibbs sampling approach of Bladt and Sorensen (2005) doi:10.1111/j.1467-9868.2005.00508.x are included.
- Version1.4.4
- R versionunknown
- LicenseGPL-3
- Needs compilation?Yes
- Last release02/09/2024
Documentation
Team
Marius Pfeuffer
Matthias Fischer
Show author detailsRolesContributorGreig Smith
Show author detailsRolesContributorGoncalo dos Reis
Show author detailsRolesContributorLinda Moestel
Show author detailsRolesContributor
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