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) , Albrecher, H., Bladt, M., & Yslas, J. (2022) , Albrecher, H., Bladt, M., Bladt, M., & Yslas, J. (2022) , Bladt, M., & Yslas, J. (2022) , Bladt, M. (2022) , Bladt, M. (2023) , Albrecher, H., Bladt, M., & Mueller, A. (2023) , Bladt, M. & Yslas, J. (2023) .

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