matrixdist
type: Item
swMATH work ID: 36794
instance of: R package
software version identifier: 1.1.7
software version identifier: 1.1.8
software version identifier: 1.0.1
software version identifier: 1.0.2
software version identifier: 1.0
software version identifier: 1.1.0
software version identifier: 1.1.2
software version identifier: 1.1.3
software version identifier: 1.1.4
software version identifier: 1.1.5
software version identifier: 1.1.6
software version identifier: 1.1.9
maintained by: Martin Bladt
CRAN project: matrixdist
programmed in: R
MaRDI profile type: Software
last update: 2023-08-08T00:00:00Z
description: 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>.
author: Martin Bladt
author: Jorge Yslas
copyright license: GNU General Public License, version 3.0
imports: Rcpp
imports: methods
imports: nnet
imports: reshape2
cites work: Inhomogeneous phase-type distributions and heavy tails
cites work: Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case
cites work: Mortality modeling and regression with matrix distributions
cites work: Phase-type mixture-of-experts regression for loss severities
cites work: PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING
cites work: A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
cites work: Joint lifetime modeling with matrix distributions
cites work: Robust claim frequency modeling through phase-type mixture-of-experts regression
source code repository: BayesNet
depends on software: R
description: Statistics for Matrix Distributions