ctmcd (Q38356)
From MaRDI portal
Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Language | Label | Description | Also known as |
---|---|---|---|
English | ctmcd |
Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data |
Statements
9 February 2024
0 references
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.
0 references