ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data (original) (raw)
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 |
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