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.

Version: 1.4.0
Imports: Rcpp (≥ 0.12.17), coda, expm, numDeriv
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown, R.rsp, markovchain
Published: 2018-07-23
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

Downloads:

Reference manual: ctmcd.pdf
Vignettes: A ctmcd Guide
ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Package source: ctmcd_1.4.0.tar.gz
Windows binaries: r-devel: ctmcd_1.4.0.zip, r-release: ctmcd_1.4.0.zip, r-oldrel: ctmcd_1.4.0.zip
OS X binaries: r-release: ctmcd_1.4.0.tgz, r-oldrel: ctmcd_1.4.0.tgz
Old sources: ctmcd archive

Reverse dependencies:

Reverse suggests: markovchain

Linking:

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