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.


Reference manual

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1.4.1 by Marius Pfeuffer, 3 years ago

Browse source code at

Authors: Marius Pfeuffer [aut,cre] , Greig Smith [ctb] , Goncalo dos Reis [ctb] , Linda Moestel [ctb] , Matthias Fischer [ctb]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, coda, expm, numDeriv

Suggests knitr, rmarkdown, R.rsp, markovchain

Linking to Rcpp, RcppArmadillo

Suggested by markovchain.

See at CRAN