2021/01/20 by Bladt, Martin, Mueller, Alaric, Yslas, Jorge
#Computation (stat.CO) #FOS: Computer and information sciences
paper · doi:10.48550/arxiv.2101.07987
The matrixdist R package provides a comprehensive suite of tools for the statistical analysis of matrix distributions, including phase-type, inhomogeneous phase-type, discrete phase-type, and related multivariate distributions. This paper introduces the package and its key features, including the estimation of these distributions and their extensions through expectation-maximisation algorithms, as well as the implementation of regression through the proportional intensities and mixture-of-experts models. Additionally, the paper provides an overview of the theoretical background, discusses the algorithms and methods implemented in the package, and offers practical examples to illustrate the application of matrixdist in real-world actuarial problems. The matrixdist R package aims to provide researchers and practitioners a wide set of tools for analysing and modelling complex data using matrix distributions.