Package: ctmcd 1.4.4

Marius Pfeuffer

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.

Authors:Marius Pfeuffer [aut, cre], Greig Smith [ctb], Goncalo dos Reis [ctb], Linda Moestel [ctb], Matthias Fischer [ctb]

ctmcd_1.4.4.tar.gz
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ctmcd_1.4.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
ctmcd/json (API)

# Install 'ctmcd' in R:
install.packages('ctmcd', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • tm_abs - Single Year Corporate Credit Rating Transititions

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblascppopenmp

2.73 score 2 stars 1.3k downloads 23 exports 7 dependencies

Last updated from:70686c4f30. Checks:10 OK. Indexed: yes.

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linux-devel-x86_64OK149
source / vignettesOK217
linux-release-arm64OK126
linux-release-x86_64OK152
windows-devel-arm64OK239
windows-devel-x86_64OK158
windows-release-arm64OK212
windows-release-x86_64OK116
wasm-releaseOK128

Exports:ciEMBSciEMoFIciEMSdRciGSctmcdlogLikgmgm.defaultgmcigmci.defaultgmDAgmEMgmGSgmQOgmWAplot.gmplot.gmciplotMprint.gmprint.gmcirNijTRiT_ModRejrNijTRiT_Unifsummary.gmtmci

Dependencies:codaexpmlatticeMatrixnumDerivRcppRcppArmadillo

A ctmcd Guide
Introduction | Generator Matrix Estimation | Confidence / Credibility Intervals | Matrix Plot Function | References
Rendered fromctmcd_vignette.Rmdusingknitr::rmarkdown

Last update: 2018-06-03
Started: 2016-08-16

ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
Rendered fromRJ-2017-038.pdf.asisusingR.rsp::asis

Last update: 2017-10-09
Started: 2017-10-09