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.
Version: |
1.4.4 |
Imports: |
Rcpp (≥ 1.0.12), coda, expm, numDeriv |
LinkingTo: |
Rcpp, RcppArmadillo |
Suggests: |
knitr, rmarkdown, R.rsp |
Published: |
2024-02-09 |
DOI: |
10.32614/CRAN.package.ctmcd |
Author: |
Marius Pfeuffer [aut, cre],
Greig Smith [ctb],
Goncalo dos Reis [ctb],
Linda Moestel [ctb],
Matthias Fischer [ctb] |
Maintainer: |
Marius Pfeuffer <marius.pfeuffer at fau.de> |
License: |
GPL-3 |
NeedsCompilation: |
yes |
CRAN checks: |
ctmcd results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
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