EMstep_RK {matrixdist}

EM step for phase-type using Runge-Kutta

Description

Computes one step of the EM algorithm by using a Runge-Kutta method of fourth order.

Usage

EMstep_RK(h, alpha, S, obs, weight, rcens, rcweight)

Arguments

h

Step-length.

alpha

Initial probabilities.

S

Sub-intensity matrix.

obs

The observations.

weight

The weights for the observations.

rcens

Censored observations.

rcweight

The weights for the censored observations.