Package: matrixdist 1.1.9

matrixdist: Statistics for Matrix 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>.

Authors:Martin Bladt [aut, cre], Jorge Yslas [aut], Alaric Müller [ctb]

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matrixdist.pdf |matrixdist.html✨
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NEWS

# Install 'matrixdist' in R:

install.packages('matrixdist', repos = c('https://martinbladt.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/martinbladt/matrixdist_1.0/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

On CRAN:

3.70 score 1 stars 2 scripts 246 downloads 49 exports 13 dependencies

Last updated 1 months agofrom:baa2e790f0. Checks:OK: 1 WARNING: 8. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 21 2024
R-4.5-win-x86_64	WARNING	Nov 21 2024
R-4.5-linux-x86_64	WARNING	Nov 21 2024
R-4.4-win-x86_64	WARNING	Nov 21 2024
R-4.4-mac-x86_64	WARNING	Nov 21 2024
R-4.4-mac-aarch64	WARNING	Nov 21 2024
R-4.3-win-x86_64	WARNING	Nov 21 2024
R-4.3-mac-x86_64	WARNING	Nov 21 2024
R-4.3-mac-aarch64	WARNING	Nov 21 2024

Exports:bivdph biviph bivph cdf coef cor csph_density csph_density_test csph_densityrk dens dph evaluate find_weight Fisher fit haz inhomogeneity_reg iph laplace linCom logLik LRT marginal marginal_expectation matrix_power maximum mdph mean mgf minimum miph mixture MoE moment mph MPHstar MPHstar_data_aggregation MPHstar_EMstep_UNI Nfold pgf ph quan random_reward reg show sim sph TVR var

Dependencies:cli glue lifecycle magrittr nnet plyr Rcpp RcppArmadillo reshape2 rlang stringi stringr vctrs

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Statistics for Matrix Distributions	matrixdist-package matrixdist
Sum method for discrete phase-type distributions	+,dph,dph-method
Sum method for phase-type distributions	+,ph,ph-method
Runge-Kutta for the calculation of the a vector in a EM step	a_rungekutta
Constructor function for bivariate discrete phase-type distributions	bivdph
Bivariate discrete phase-type joint density of the feed forward type	bivdph_density
Bivariate discrete phase-type joint tail of the feed forward type	bivdph_tail
Bivariate discrete phase-type distributions	bivdph-class
Constructor function for bivariate inhomogeneous phase-type distributions	biviph
Bivariate inhomogeneous phase-type distributions	biviph-class
Constructor function for bivariate phase-type distributions	bivph
Bivariate phase-type joint density of the feed forward type	bivph_density
Bivariate phase-type joint Laplace	bivph_laplace
Bivariate phase-type joint tail of the feed forward type	bivph_tail
Bivariate phase-type distributions	bivph-class
New generic for the distribution of matrix distributions	cdf
Distribution method for discrete phase-type distributions	cdf,dph-method
Distribution method for inhomogeneous phase-type distributions	cdf,iph-method
Distribution method for multivariate inhomogeneous phase-type distributions	cdf,miph-method
Distribution method for multivariate phase-type distributions	cdf,mph-method
Distribution method for phase-type distributions	cdf,ph-method
Clone a matrix	clone_matrix
Clone a vector	clone_vector
Coef method for bivdph class	coef,bivdph-method
Coef method for biviph class	coef,biviph-method
Coef method for bivph class	coef,bivph-method
Coef method for dph Class	coef,dph-method
Coef method for iph class	coef,iph-method
Coef method for mdph class	coef,mdph-method
Coef method for ph class	coef,ph-method
Coef method for sph Class	coef,sph-method
Cor method for bivdph class	cor,bivdph-method
Cor method for bivph class	cor,bivph-method
Cor method for multivariate discrete phase-type distributions	cor,mdph-method
Cor method for multivariate phase-type distributions	cor,mph-method
Cor method for MPHstar class	cor,MPHstar-method
Bivariate phase-type joint density of the common shock type	csph_density
Bivariate phase-type joint density of the common shock type	csph_density_test
Bivariate phase-type joint density of the common shock type	csph_densityrk
Cumulate matrix	cumulate_matrix
Cumulate vector	cumulate_vector
Aggregate data to improve computation speed	data_aggregation
Default size of the steps in the RK	default_step_length
New generic for the density of matrix distributions	dens
Density method for bivariate discrete phase-type distributions	dens,bivdph-method
Density method for bivariate inhomogeneous phase-type distributions	dens,biviph-method
Density method for bivariate phase-type distributions	dens,bivph-method
Density method for discrete phase-type distributions	dens,dph-method
Density method for inhomogeneous phase-type distributions	dens,iph-method
Density method for multivariate discrete phase-type distributions	dens,mdph-method
Density method for multivariate inhomogeneous phase-type distributions	dens,miph-method
Density method for multivariate phase-type distributions	dens,mph-method
Density method for phase-type distributions	dens,ph-method
Constructor function for discrete phase-type distributions	dph
Pgf of a discrete phase-type distribution	dph_pgf
Discrete phase-type distributions	dph-class
Discrete phase-type cdf	dphcdf
Discrete phase-type density	dphdensity
EM step for the mPH class with right-censoring, for different marginal sub-intensity matrices	EM_step_mPH_rc
Embedded Markov chain of a sub-intensity matrix	embedded_mc
EM for discrete bivariate phase-type	EMstep_bivdph
EM for discrete bivariate phase-type MoE	EMstep_bivdph_MoE
EM for bivariate phase-type distributions using Pade for matrix exponential	EMstep_bivph
EM for discrete phase-type	EMstep_dph
EM for discrete phase-type MoE	EMstep_dph_MoE
EM for multivariate discrete phase-type	EMstep_mdph
EM for multivariate discrete phase-type MoE	EMstep_mdph_MoE
EM for PH-MoE	EMstep_MoE_PADE
EM for phase-type distributions using Pade approximation for matrix exponential	EMstep_PADE
EM step for phase-type using Runge-Kutta	EMstep_RK
EM for phase-type using uniformization for matrix exponential	EMstep_UNI
New generic for evaluating survival matrix distributions	evaluate
Evaluation method for sph Class	evaluate,sph-method
expm terms of phase-type likelihood using uniformization	expm_terms
Matrix exponential	expmat
Find n such that P(N > n) = h with N Poisson distributed	find_n
Find weight of observations	find_weight
New generic for obtaining the Fisher information of survival matrix distributions	Fisher
Fisher information method for sph class	Fisher,sph-method
New generic for estimating matrix distributions	fit
Fit method for bivdph Class	fit,bivdph-method
Fit method for bivph Class	fit,bivph-method
Fit method for dph class	fit,dph-method
Fit method for mdph Class	fit,mdph-method
Fit method for mph Class	fit,mph-method
Fit method for mph class	fit,MPHstar-method
Fit method for ph class	fit,ph-method
New generic for the hazard rate of matrix distributions	haz
Hazard rate method for phase-type distributions	haz,ph-method
L inf norm of a matrix	inf_norm
New generic for regression with matrix distributions, when the inhomogeneity parameter is also regressed	inhomogeneity_reg
Regression method for ph Class	inhomogeneity_reg,ph-method
Initial state of Markov jump process	initial_state
Constructor function for inhomogeneous phase-type distributions	iph
Inhomogeneous phase-type distributions	iph-class
New generic for Laplace transform of matrix distributions	laplace
Laplace method for bivph class	laplace,bivph-method
Laplace method for multivariate phase-type distributions	laplace,mph-method
Laplace method for phase-type distributions	laplace,ph-method
New generic for linear combinations of multivariate matrix distributions	linCom
Linear combination method for bivariate phase-type distributions	linCom,bivph-method
Linear combination method for MPHstar class	linCom,MPHstar-method
Computes PH parameters of a linear combination of vector from MPHstar	linear_combination
Loglikelihood method for ph class	logLik,ph-method
Loglikelihood for bivariate discrete phase-type	logLikelihoodbivDPH
Loglikelihood for bivariate discrete phase-type MoE	logLikelihoodbivDPH_MoE
Loglikelihood for Bivariate PH	logLikelihoodbivPH
Loglikelihood for discrete phase-type	logLikelihoodDPH
Loglikelihood for discrete phase-type MoE	logLikelihoodDPH_MoE
Loglikelihood for multivariate discrete phase-type	logLikelihoodmDPH
Loglikelihood for multivariate discrete phase-type MoE	logLikelihoodmDPH_MoE
Loglikelihood of matrix-GEV using Pade	logLikelihoodMgev_PADE
Loglikelihood of matrix-GEV using Runge-Kutta	logLikelihoodMgev_RK
Loglikelihood of matrix-GEV using uniformization	logLikelihoodMgev_UNI
Loglikelihood of matrix-Gompertz using Pade	logLikelihoodMgompertz_PADE
Loglikelihood of PI with matrix-Gompertz using Pade	logLikelihoodMgompertz_PADEs
Loglikelihood of matrix-Gompertz using Runge-Kutta	logLikelihoodMgompertz_RK
Loglikelihood of PI with matrix-Gompertz using Runge-Kutta	logLikelihoodMgompertz_RKs
Loglikelihood of matrix-Gompertz using uniformization	logLikelihoodMgompertz_UNI
Loglikelihood of PI with matrix-Gompertz using Uniformization	logLikelihoodMgompertz_UNIs
Loglikelihood of matrix-loglogistic using Pade	logLikelihoodMloglogistic_PADE
Loglikelihood of PI with matrix-loglogistic using Pade	logLikelihoodMloglogistic_PADEs
Loglikelihood of matrix-loglogistic using Runge-Kutta	logLikelihoodMloglogistic_RK
Loglikelihood of PI with matrix-loglogistic using Runge-Kutta	logLikelihoodMloglogistic_RKs
Loglikelihood of matrix-loglogistic using uniformization	logLikelihoodMloglogistic_UNI
Loglikelihood of PI with matrix-loglogistic using uniformization	logLikelihoodMloglogistic_UNIs
Loglikelihood of matrix-lognormal using Pade	logLikelihoodMlognormal_PADE
Loglikelihood of PI with matrix-lognormal using Pade	logLikelihoodMlognormal_PADEs
Loglikelihood of matrix-lognormal using Runge-Kutta	logLikelihoodMlognormal_RK
Loglikelihood of PI matrix-lognormal using Runge-Kutta	logLikelihoodMlognormal_RKs
Loglikelihood of matrix-lognormal using uniformization	logLikelihoodMlognormal_UNI
Loglikelihood of PI with matrix-lognormal using uniformization	logLikelihoodMlognormal_UNIs
Loglikelihood of matrix-Pareto using Pade	logLikelihoodMpareto_PADE
Loglikelihood of PI with matrix-Pareto using Pade	logLikelihoodMpareto_PADEs
Loglikelihood of matrix-Pareto using Runge-Kutta	logLikelihoodMpareto_RK
Loglikelihood of PI with matrix-Pareto using Runge-Kutta	logLikelihoodMpareto_RKs
Loglikelihood of matrix-Pareto using uniformization	logLikelihoodMpareto_UNI
Loglikelihood of PI with matrix-Pareto using uniformization	logLikelihoodMpareto_UNIs
Loglikelihood of matrix-Weibull using Pade	logLikelihoodMweibull_PADE
Loglikelihood of PI with matrix-Weibull using Pade	logLikelihoodMweibull_PADEs
Loglikelihood of matrix-Weibull using Runge-Kutta	logLikelihoodMweibull_RK
Loglikelihood of PI with matrix-Weibull using Runge-Kutta	logLikelihoodMweibull_RKs
Loglikelihood of matrix-Weibull using uniformization	logLikelihoodMweibull_UNI
Loglikelihood of PI with matrix-Weibull using uniformization	logLikelihoodMweibull_UNIs
Loglikelihood for PH-MoE	logLikelihoodPH_MoE
Loglikelihood of phase-type using Pade approximation	logLikelihoodPH_PADE
Loglikelihood of PI with phase-type using Pade	logLikelihoodPH_PADEs
Loglikelihood of phase-type using Runge-Kutta	logLikelihoodPH_RK
Loglikelihood of PI with phase-type using Runge-Kutta	logLikelihoodPH_RKs
Loglikelihood of phase-type using uniformization	logLikelihoodPH_UNI
Loglikelihood of PI with phase-type using uniformization	logLikelihoodPH_UNIs
New generic for likelihood ratio test between two matrix distribution models	LRT
LRT method for ph class	LRT,ph,ph-method
Computes exp(Sx) via series representation	m_exp_sum
New generic for the marginals of multivariate matrix distributions	marginal
Marginal conditional expectations	marginal_expectation
Marginal method for bivdph class	marginal,bivdph-method
Marginal method for biviph class	marginal,biviph-method
Marginal method for bivph class	marginal,bivph-method
Marginal method for mdph class	marginal,mdph-method
Marginal method for multivariate inhomogeneous phase-type distributions	marginal,miph-method
Marginal method for multivariate phase-type distributions	marginal,mph-method
Marginal method for MPHstar class	marginal,MPHstar-method
Matrix exponential	matrix_exponential
Inverse of a matrix	matrix_inverse
Computes A^n	matrix_power
Product of two matrices	matrix_product
Creates the matrix (A1, B1 ; 0, A2)	matrix_vanloan
Maximum diagonal element of a matrix	max_diagonal
New generic for maximum of two matrix distributions	maximum
Maximum method for discrete phase-type distributions	maximum,dph,dph-method
Maximum method for inhomogeneous phase-type distributions	maximum,iph,iph-method
Maximum method for phase-type distributions	maximum,ph,ph-method
Constructor function for multivariate discrete phase-type distributions	mdph
Multivariate discrete phase-type distributions	mdph-class
Multivariate discrete phase-type density	mdphdensity
Mean method for bivdph class	mean,bivdph-method
Mean Method for bivph class	mean,bivph-method
Mean method for discrete phase-type distributions	mean,dph-method
Mean method for multivariate discrete phase-type distributions	mean,mdph-method
Mean method for multivariate phase-type distributions	mean,mph-method
Mean method for MPHstar class	mean,MPHstar-method
Mean method for phase-type distributions	mean,ph-method
Merges the matrices S11, S12 and S22 into a sub-intensity matrix	merge_matrices
Matrix-GEV cdf	mgevcdf
Matrix-GEV density	mgevden
New generic for mgf of matrix distributions	mgf
Mgf method for bivph class	mgf,bivph-method
Mgf method for multivariate phase-type distributions	mgf,mph-method
Mgf method for phase-type distributions	mgf,ph-method
Matrix-Gompertz cdf	mgompertzcdf
Matrix-Gompertz density	mgompertzden
New generic for minimum of two matrix distributions	minimum
Minimum method for discrete phase-type distributions	minimum,dph,dph-method
Minimum method for inhomogeneous phase-type distributions	minimum,iph,iph-method
Minimum method for phase-type distributions	minimum,ph,ph-method
Constructor function for multivariate inhomogeneous phase-type distributions	miph
Multivariate inhomogeneous phase-type distributions	miph-class
New generic for mixture of two matrix distributions	mixture
Mixture method for phase-type distributions	mixture,dph,dph-method
Mixture method for phase-type distributions	mixture,ph,ph-method
Matrix-loglogistic cdf	mloglogisticcdf
Matrix-loglogistic density	mloglogisticden
Matrix-lognormal cdf	mlognormalcdf
Matrix-lognormal density	mlognormalden
New generic for mixture-of-experts regression with matrix distributions	MoE
MoE method for bivdph Class	MoE,bivdph-method
MoE method for dph Class	MoE,dph-method
MoE method for mdph Class	MoE,mdph-method
Fit method for mph/miph class, using mixture-of-experts regression	MoE,mph-method
MoE method for ph Class	MoE,ph-method
New generic for moments of matrix distributions	moment
Moment method for bivdph class	moment,bivdph-method
Moment method for bivph class	moment,bivph-method
Moment method for discrete phase-type distributions	moment,dph-method
Moment method for multivariate discrete phase-type distributions	moment,mdph-method
Moment method for multivariate phase-type distributions	moment,mph-method
Moment method for phase-type distributions	moment,ph-method
Matrix-Pareto cdf	mparetocdf
Matrix-Pareto density	mparetoden
Constructor function for multivariate phase-type distributions	mph
Multivariate phase-type distributions	mph-class
Constructor function for multivariate phase-type distributions (MPH* class)	MPHstar
Prepare data for the MPHstar_EMstep_UNI	MPHstar_data_aggregation
EM step using Uniformization for MPHstar class	MPHstar_EMstep_UNI
Multivariate phase-type distributions obtained by transformation via rewards	MPHstar-class
Matrix-Weibull cdf	mweibullcdf
Matrix-Weibull density	mweibullden
Find how many states have positive reward	n_pos
New state in a Markov jump process	new_state
New generic for N-fold convolution of two matrix distributions	Nfold
Nfold method for phase-type distributions	Nfold,dph-method
New generic for pgf of matrix distributions	pgf
Pgf method for bivariate discrete phase-type distributions	pgf,bivdph-method
Pgf Method for discrete phase-type distributions	pgf,dph-method
Pgf method for multivariate discrete phase-type distributions	pgf,mdph-method
Constructor function for phase-type distributions	ph
Laplace transform of a phase-type distribution	ph_laplace
Phase-type distributions	ph-class
Phase-type cdf	phcdf
Phase-type density	phdensity
Find which states have positive reward	plus_states
Computes A^(2^n)	pow2_matrix
New generic for the quantile of matrix distributions	quan
Quantile method for phase-type distributions	quan,ph-method
Random reward matrix	random_reward
Random structure of a phase-type	random_structure
Random structure of a bivariate phase-type	random_structure_bivph
Simulate discrete phase-type	rdphasetype
New generic for regression with matrix distributions	reg
Regression method for ph Class	reg,ph-method
Applies the inverse of the GEV transformation but giving back the resulting vector in reverse order	revers_data_trans
Transform a reward matrix with very small rewards to avoid numerical problems	rew_sanity_check
Random inhomogeneous phase-type	riph
Random matrix GEV	rmatrixgev
Simulate MDPH*	rMDPHstar
Simulate a MIPH* random vector	rMIPHstar
Simulate a MPH* random vector	rMPHstar
Simulate phase-type	rphasetype
Runge-Kutta for the calculation of the a and b vectors and the c matrix in a EM step	runge_kutta
Show method for bivariate discrete phase-type distributions	show,bivdph-method
Show method for bivariate inhomogeneous phase-type distributions	show,biviph-method
Show method for bivariate phase-type distributions	show,bivph-method
Show method for discrete phase-type distributions	show,dph-method
Show method for inhomogeneous phase-type distributions	show,iph-method
Show method for multivariate discrete phase-type distributions	show,mdph-method
Show method for multivariate inhomogeneous phase-type distributions	show,miph-method
Show method for multivariate phase-type distributions	show,mph-method
Show method for multivariate phase-type distributions	show,MPHstar-method
Show method for phase-type distributions	show,ph-method
Show method for survival phase-type objects	show,sph-method
New generic for simulating matrix distributions	sim
Simulation method for bivariate discrete phase-type distributions	sim,bivdph-method
Simulation method for bivariate inhomogeneous phase-type distributions	sim,biviph-method
Simulation method for bivariate phase-type distributions	sim,bivph-method
Simulation method for phase-type distributions	sim,dph-method
Simulation method for inhomogeneous phase-type distributions	sim,iph-method
Simulation method for multivariate discrete phase-type distributions	sim,mdph-method
Simulation method for inhomogeneous multivariate phase-type distributions	sim,miph-method
Simulation method for multivariate phase-type distributions	sim,mph-method
Simulation method for multivariate phase-type distributions	sim,MPHstar-method
Simulation method for phase-type distributions	sim,ph-method
Constructor function for survival phase-type objects	sph
Survival analysis for phase-type distributions	sph-class
Computes the initial distribution and sub-intensity of the sum of two discrete phase-type distributed random variables	sum_dph
Computes the initial distribution and sub-intensity of the sum of two phase-type distributed random variables.	sum_ph
New generic for transformation via rewards of a matrix distribution	TVR
Performs TVR for discrete phase-type distributions	tvr_dph
Performs TVR for phase-type distributions	tvr_ph
TVR Method for dph Class	TVR,dph-method
TVR method for ph class	TVR,ph-method
Var method for bivdph class	var,bivdph-method
Var method for bivph class	var,bivph-method
Var method for discrete phase-type distributions	var,dph-method
Var method for multivariate discrete phase-type distributions	var,mdph-method
Var method for multivariate phase-type distributions	var,mph-method
Var method for MPHstar class	var,MPHstar-method
Var method for phase-type distributions	var,ph-method
Computes the elements S^n / n! until the a given size	vector_of_matrices
Computes the elements S^n / n! until given value of n	vector_of_matrices_2
Computes elements A^n until the given size	vector_of_powers