Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
tools:::Rd_package_title("ctmcd")
Discrete-Time Data Log-Likelihood Function
Generator Matrix Estimation
Generator Matrix Estimation
Confidence / Credibility Intervals for Generator Matrix Objects
Confidence / Credibility Intervals for Generator Matrix Objects
Diagonal Adjustment
Expectation-Maximization Algorithm
Gibbs Sampler
Quasi-Optimization
Weighted Adjustment
Plot Function for Generator Matrix Estimation Objects
Plot Function for Generator Matrix Confidence / Credibility Interval O...
Matrix Plot Function
Print Method for Generator Matrix Estimation Objects
Print Method for Generator Matrix Confidence / Credibility Interval Ob...
C++ Based Modified Rejection Sampling
C++ Based Uniformization Sampling
Extended Output for Generator Matrix Estimate Objects
Delta Method Confidence Intervals for Matrix Exponential Transformatio...
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.