matrixdist

Tools for phase-type distributions including the following variants: continuous, discrete, multivariate, in-homogeneous, right-censored, and regression. Methods for functional evaluation, simulation and estimation using the expectation-maximization (EM) algorithm are provided for all models. The methods of this package are based on the following references. Asmussen, S., Nerman, O., & Olsson, M. (1996). Fitting phase-type distributions via the EM algorithm, Olsson, M. (1996). Estimation of phase-type distributions from censored data, Albrecher, H., & Bladt, M. (2019) doi:10.1017/jpr.2019.60, Albrecher, H., Bladt, M., & Yslas, J. (2022) doi:10.1111/sjos.12505, Albrecher, H., Bladt, M., Bladt, M., & Yslas, J. (2022) doi:10.1016/j.insmatheco.2022.08.001, Bladt, M., & Yslas, J. (2022) doi:10.1080/03461238.2022.2097019, Bladt, M. (2022) doi:10.1017/asb.2021.40, Bladt, M. (2023) doi:10.1080/10920277.2023.2167833, Albrecher, H., Bladt, M., & Mueller, A. (2023) doi:10.1515/demo-2022-0153, Bladt, M. & Yslas, J. (2023) doi:10.1016/j.insmatheco.2023.02.008.