ctmcd (1.1)

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

http://cran.r-project.org/web/packages/ctmcd

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.

Maintainer: Marius Pfeuffer
Author(s): Marius Pfeuffer

License: GPL-3

Uses: coda, expm, numDeriv, Rcpp, knitr, rmarkdown

Released about 1 month ago.


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