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EstSimPDMP (version 1.2)

Estimation and Simulation for PDMPs

Description

This package deals with the estimation of the jump rate for piecewise-deterministic Markov processes (PDMPs), from only one observation of the process within a long time. The main functions provide an estimate of this function. The state space may be discrete or continuous. The associated paper has been published in Scandinavian Journal of Statistics and is given in references. Other functions provide a method to simulate random variables from their (conditional) hazard rate, and then to simulate PDMPs.

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Version

Install

install.packages('EstSimPDMP')

Monthly Downloads

19

Version

1.2

License

GPL (>= 2)

Maintainer

Romain Azais

Last Published

November 26th, 2014

Functions in EstSimPDMP (1.2)

plotCHR

Plot the Nelson-Aalen estimator
CondPdf.DC

Estimation of the density associated to the jump rate for piecewise-deterministic Markov processes (discrete state space)
plotHR

Plot the estimator of the hazard rate computed by the function HR
Simu.Cond.HR

Simulation of random variables from their conditional hazard rate function
Simu.PDMP.DC

Simulation of a piecewise-deterministic Markov process with discrete state space
Simu.PDMP

Simulation of a piecewise-deterministic Markov process with continuous state space
CondPdf.DC.interval

Estimation of the density associated to the jump rate for piecewise-deterministic Markov processes (discrete state space)
Simu.HR

Simulation of random variables from their hazard rate function
EstSimPDMP-package

Nonparametric estimation of the jump rate and simulation for piecewise-deterministic Markov processes
CondPdf.CC.interval

Estimation of the density associated to the jump rate for piecewise-deterministic Markov processes (continuous state space)
CHR

Nelson-Aalen estimator
HR

Estimator of the hazard rate function by a kernel method