EMstep_RK

Computes one step of the EM algorithm by using a Runge-Kutta method of fourth order.

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

EMstep_RK function

<dl><dt>h</dt>
<dd>Step-length.</dd>
<dt>alpha</dt>
<dd>Initial probabilities.</dd>
<dt>S</dt>
<dd>Sub-intensity matrix.</dd>
<dt>obs</dt>
<dd>The observations.</dd>
<dt>weight</dt>
<dd>The weights for the observations.</dd>
<dt>rcens</dt>
<dd>Censored observations.</dd>
<dt>rcweight</dt>
<dd>The weights for the censored observations.</dd></dl>

Arguments

EM step for phase-type using Runge-Kutta — EMstep_RK

<dl>

<dt>h</dt>
<dd>Step-length.</dd>


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


<dt>S</dt>
<dd>Sub-intensity matrix.</dd>


<dt>obs</dt>
<dd>The observations.</dd>


<dt>weight</dt>
<dd>The weights for the observations.</dd>


<dt>rcens</dt>
<dd>Censored observations.</dd>


<dt>rcweight</dt>
<dd>The weights for the censored observations.</dd>

</dl>

EMstep_RK: EM step for phase-type using Runge-Kutta

Description

Usage

Arguments