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

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

Documentation:

Reference manual:	ctmcd.html , ctmcd.pdf
Vignettes:	A ctmcd Guide (source, R code) ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data (source)

Downloads:

Package source:	ctmcd_1.4.4.tar.gz
Windows binaries:	r-devel: ctmcd_1.4.4.zip, r-release: ctmcd_1.4.4.zip, r-oldrel: ctmcd_1.4.4.zip
macOS binaries:	r-release (arm64): ctmcd_1.4.4.tgz, r-oldrel (arm64): ctmcd_1.4.4.tgz, r-release (x86_64): ctmcd_1.4.4.tgz, r-oldrel (x86_64): ctmcd_1.4.4.tgz
Old sources:	ctmcd archive

Reverse dependencies:

Reverse suggests:

markovchain

Linking:

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