matrixdist
swMATH36794CRANmatrixdistMaRDI QIDQ52496FDOQ52496
Statistics for Matrix Distributions
Last update: 8 August 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.1.7, 1.1.8, 1.0.1, 1.0.2, 1.0, 1.1.0, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.1.6, 1.1.9
Source code repository: https://github.com/cran/BayesNet
Tools for phase-type distributions including the following variants: continuous, discrete, multivariate, in-homogeneous, right-censored, and regression. Methods for functional evaluation, simulation and estimation using the expectation-maximization (EM) algorithm are provided for all models. The methods of this package are based on the following references. Asmussen, S., Nerman, O., & Olsson, M. (1996). Fitting phase-type distributions via the EM algorithm, Olsson, M. (1996). Estimation of phase-type distributions from censored data, Albrecher, H., & Bladt, M. (2019) <doi:10.1017/jpr.2019.60>, Albrecher, H., Bladt, M., & Yslas, J. (2022) <doi:10.1111/sjos.12505>, Albrecher, H., Bladt, M., Bladt, M., & Yslas, J. (2022) <doi:10.1016/j.insmatheco.2022.08.001>, Bladt, M., & Yslas, J. (2022) <doi:10.1080/03461238.2022.2097019>, Bladt, M. (2022) <doi:10.1017/asb.2021.40>, Bladt, M. (2023) <doi:10.1080/10920277.2023.2167833>, Albrecher, H., Bladt, M., & Mueller, A. (2023) <doi:10.1515/demo-2022-0153>, Bladt, M. & Yslas, J. (2023) <doi:10.1016/j.insmatheco.2023.02.008>.
- Inhomogeneous phase-type distributions and heavy tails
- Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case
- Mortality modeling and regression with matrix distributions
- Phase-type mixture-of-experts regression for loss severities
- PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING
- A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
- Joint lifetime modeling with matrix distributions
- Robust claim frequency modeling through phase-type mixture-of-experts regression
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