Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data

Functions for estimating Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal adjustment, weighted adjustment and quasi-optimization of matrix logarithm based candidate solutions, an expectation-maximization algorithm as well as a Gibbs sampler.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("ctmcd")

1.1 by Marius Pfeuffer, 3 months ago


Browse source code at https://github.com/cran/ctmcd


Authors: Marius Pfeuffer


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, coda, expm, numDeriv

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN