ctmcd

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

Marius Pfeuffer

Last update: 9 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.4.2, 1.4.3, 0.9, 1.0, 1.1, 1.2, 1.3.5, 1.3, 1.4.0, 1.4.1, 1.4.4

Source code repository: https://github.com/cran/ctmcd

Description

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.

Cites work

• Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
• Statistical Inference for Discretely Observed Markov Jump Processes

Cited In (4)

• An extended likelihood framework for modelling discretely observed credit rating transitions
• Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
• Robust and consistent estimation of generators in credit risk
• Statistical inference for Markov chains with applications to credit risk

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