ctmcd (1.0)

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.

Maintainer: Marius Pfeuffer
Author(s): Marius Pfeuffer

License: GPL-3

Uses: expm, numDeriv, Rcpp, knitr, rmarkdown
Reverse suggests: markovchain

Released over 3 years ago.