R package ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data. Functions for estimating Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal adjustment, weighted adjustment and quasi-optimization of matrix logarithm based candidate solutions, an expectation-maximization algorithm as well as a Gibbs sampler.
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References in zbMATH (referenced in 2 articles )
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- Pfeuffer, M.; Möstel, L.; Fischer, M.: An extended likelihood framework for modelling discretely observed credit rating transitions (2019)
- Dos Reis, G.; Smith, G.: Robust and consistent estimation of generators in credit risk (2018)