## File: gmDA.Rd

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r-cran-ctmcd 1.4.1-2
 123456789101112131415161718192021222324252627282930313233343536373839404142 \name{gmDA} \alias{gmDA} \title{ Diagonal Adjustment } \description{ Function for deriving a Markov generator matrix estimate based on the diagonal adjustment method of Israel et al., 2001 } \usage{ gmDA(tmrel, te, logmethod = "Eigen") } \arguments{ \item{tmrel}{ matrix of relative transition frequencies } \item{te}{ time elapsed in transition process } \item{logmethod}{ method for computation of matrix logarithm, by default eigendecomposition is chosen (see \code{?logm} from \code{expm} package for more information) } } \details{ A candidate solution is derived by the matrix logarithm and then adjusted in order to fulfil the properties of a Markov generator matrix. } \references{ R. B. Israel et al.: Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings. Mathematical Finance 11(2):245-265, 2001 } \author{ Marius Pfeuffer } \examples{ ## Derive matrix of relative transition frequencies data(tm_abs) tm_rel=rbind((tm_abs/rowSums(tm_abs))[1:7,],c(rep(0,7),1)) ## Derive diagonal adjustment generator matrix estimate gmda=gmDA(tm_rel,1) gmda }