Computes the transition matrix P(t) of a CTMC with given rate matrix (Q) and time (t).
Usage
Pctmc(Q,t)
Arguments
Q
A square matrix. Either a rate matrix or the infinitessimal generator of the CTMC.
t
A numeric value - the time step.
Value
A square matrix P with entries P[i,j]=Prob(X(t)=j|X(0)=i)
Details
Uses the method of homogenization to compute the probability transition matrix given by exp(Q*t).
References
Hanks, E. M.; Hooten, M. B. & Alldredge, M. W. Continuous-time
Discrete-space Models for Animal Movement The Annals of Applied
Statistics, 2015, 9, 145-165