mph-class

Class of objects for multivariate phase-type distributions.

Tools for phase-type distributions including the following variants:
continuous, discrete, multivariate, in-homogeneous, right-censored, and regression.
Methods for functional evaluation, simulation and estimation using the
expectation-maximization (EM) algorithm are provided for all models.
The methods of this package are based on the following references.
Asmussen, S., Nerman, O., & Olsson, M. (1996). Fitting phase-type distributions via the EM algorithm,
Olsson, M. (1996). Estimation of phase-type distributions from censored data,
Albrecher, H., & Bladt, M. (2019) <doi:10.1017/jpr.2019.60>,
Albrecher, H., Bladt, M., & Yslas, J. (2022) <doi:10.1111/sjos.12505>,
Albrecher, H., Bladt, M., Bladt, M., & Yslas, J. (2022) <doi:10.1016/j.insmatheco.2022.08.001>,
Bladt, M., & Yslas, J. (2022) <doi:10.1080/03461238.2022.2097019>,
Bladt, M. (2022) <doi:10.1017/asb.2021.40>,
Bladt, M. (2023) <doi:10.1080/10920277.2023.2167833>,
Albrecher, H., Bladt, M., & Mueller, A. (2023) <doi:10.1515/demo-2022-0153>,
Bladt, M. & Yslas, J. (2023) <doi:10.1016/j.insmatheco.2023.02.008>.

Martin Bladt

matrixdist

Statistics for Matrix Distributions

Jorge Yslas

Alaric Müller

mph-class function

<dl>
<dt><code>name</code></dt>
<dd>Name of the phase type distribution.</dd></dl>
<dt><code>pars</code></dt>
<dd>A list comprising of the parameters.</dd>
<dt><code>fit</code></dt>
<dd>A list containing estimation information.</dd>

Slots

Multivariate phase-type distributions — mph-class

<dl>
<dt><code>name</code></dt>
<dd>Name of the phase type distribution.</dd>


<dt><code>pars</code></dt>
<dd>A list comprising of the parameters.</dd>


<dt><code>fit</code></dt>
<dd>A list containing estimation information.</dd>


</dl>

mph-class: Multivariate phase-type distributions

Description

Arguments

Value

Slots