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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.pdf
Vignettes: A ctmcd Guide
ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data

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:

Please use the canonical form https://CRAN.R-project.org/package=ctmcd to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.