embeddedMC

Returns the transition probabilities of the embedded Markov chain determined the sub-intensity matrix

Tools for homogeneous and in-homogeneous phase-type distributions.
Methods for functional evaluation, simulation and estimation using the
expectation-maximization (EM) algorithm are provided.
The methods of this package are based on the following references.
Asmussen, S., Nerman, O., & Olsson, M. (1996) <https://www.jstor.org/stable/4616418>,
Olsson, M. (1996) <https://www.jstor.org/stable/4616419>.
Albrecher, H., & Bladt, M. (2019) <doi:10.1017/jpr.2019.60>
Albrecher, H., Bladt, M., & Yslas, J. (2020) <doi:10.1111/sjos.12505>
Bladt, M., & Yslas, J. (2020) <arXiv:2011.03219>.

Martin Bladt

matrixdist

Statistics for Matrix Distributions

Jorge Yslas

embeddedMC function

<dl><dt>S</dt>
<dd>A sub-intensity matrix</dd></dl>

Arguments

Embedded Markov chain of a sub-intensity matrix — embeddedMC

<dl>

<dt>S</dt>
<dd>A sub-intensity matrix</dd>

</dl>

embeddedMC: Embedded Markov chain of a sub-intensity matrix

Description

Usage

Value

Arguments