This is a package for working with Phase-type (PHT) distributions in the R programming language. The entire of the MCMC portion of the code has been written in optimised C for higher performance and very low memory use, whilst being easy to call from wrapper R functions.
Consider a continuous-time Markov chain (CTMC) on a finite discrete state space of size
where
Then, we define a Phase-type distribution to be the distribution of the time to absorption of the CTMC with generator
where
Note that
Please feel free to:
- submit suggestions and bug-reports at: https://github.com/louisaslett/PhaseType/issues
- compose an e-mail to: louis.aslett@durham.ac.uk
You can install the latest release directly from CRAN.
install.packages("PhaseType")
Installing directly from GitHub is not supported by the
install.packages
command. You could use the
devtools package
to install the development version if desired.
install.packages("remotes")
remotes::install_github("louisaslett/PhaseType")
Under releases, the tree/commit from which CRAN releases were made are recorded, so historic source can be downloaded from there.
If you use this software, please cite the following:
Aslett, L. J. M. (2012), MCMC for Inference on Phase-type and Masked System Lifetime Models, PhD thesis, Trinity College Dublin.
@phdthesis{Aslett2012,
title={MCMC for Inference on Phase-type and Masked System Lifetime Models},
author={Aslett, L. J. M.},
year={2012},
school={Trinity College Dublin}
}
Thank-you 😃