Return the generator matrix for a corresponding transition matrix — transition2Generator • markovchain

Calculate the generator matrix for a corresponding transition matrix

Usage

transition2Generator(P, t = 1, method = "logarithm")

Arguments

P: transition matrix between time 0 and t
t: time of observation
method: "logarithm" returns the Matrix logarithm of the transition matrix

Value

A matrix that represent the generator of P

See also

Examples

mymatr <- matrix(c(.4, .6, .1, .9), nrow = 2, byrow = TRUE)
Q <- transition2Generator(P = mymatr)
expm::expm(Q)
#>      [,1] [,2]
#> [1,]  0.4  0.6
#> [2,]  0.1  0.9