ctmcd

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.

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Description file content

Package
ctmcd
Type
Package
Title
Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Version
1.2
Date
2017-10-09
Author
Marius Pfeuffer [aut,cre], Greig Smith [ctb], Goncalo dos Reis [ctb]
Maintainer
Marius Pfeuffer
Description
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.
License
GPL-3
Imports
Rcpp (>= 0.12.13), coda, expm, numDeriv
Suggests
knitr, rmarkdown, R.rsp, markovchain
LinkingTo
Rcpp, RcppArmadillo
VignetteBuilder
knitr, R.rsp
NeedsCompilation
yes
Packaged
2017-10-09 18:53:56 UTC; Stefan
Repository
CRAN
Date/Publication
2017-10-09 20:17:21 UTC

install.packages('ctmcd')

1.2

13 days ago

Marius Pfeuffer

GPL-3

Imports

Rcpp (>= 0.12.13), coda, expm, numDeriv

Suggests

knitr, rmarkdown, R.rsp, markovchain

Discussions