phdensity

alpha

Computes the density of phase-type distribution with parameters <code>alpha</code> and <code>S</code> at <code>x</code>

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

phdensity function

<dl><dt>x</dt>
<dd>non-negative value</dd>
<dt>alpha</dt>
<dd>Initial probabilities</dd>
<dt>S</dt>
<dd>sub-intensity matrix</dd></dl>

Arguments

Phase-type density — phdensity

<dl>

<dt>x</dt>
<dd>non-negative value</dd>


<dt>alpha</dt>
<dd>Initial probabilities</dd>


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

</dl>

phdensity: Phase-type density

Description

Usage

Value

Arguments