ctmcd (Q38356)
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Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
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| English | ctmcd |
Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data |
Statements
9 February 2024
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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.
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