[R] stochastic process transition probabilities estimation
Massimo Santini
santini at dsi.unimi.it
Tue Apr 4 15:35:04 CEST 2000
Hi all,
I'm new with R (and S), and relatively new to statistics (I'm a
computer scientist), so I ask sorry in advance if my question is silly.
My problem is this: I have a (sample of a) discrete time stochastic
process {X_t} and I want to estimate
Pr{ X_t | X_{t-l_1}, X_{t-l_2}, ..., X_{t-l_k} }
where l_1, l_2, ..., l_k are some fixed time lags. It will be enough for
me to compute
#{ X_t=a_t, X_{t-l_1}=a_{t-l_1}, X_{t-l_2}=a_{t-l_2}, ..., X_{t-l_k}=a_{t-l_k} }
----------------------------------------------------------------------------------
#{ X_{t-l_1}=a_{t-l_1}, X_{t-l_2}=a_{t-l_2}, ..., X_{t-l_k}=a_{t-l_k} }
for any given sequence of a_t, a_{t-l_1}, a_{t-l_2}, ..., a_{t-l_k}.
If I should do this in C, Fortran or some other algol-like programming language
I've no doubt it will take to me no more than few minutes to write down the code.
But I'm interested in doing it within R framework in order to further
use such a result in a statistical context, where other powerfull
tools are available. Shurly I can try to implement an external
function and use it with R, but this probably wouldn't be as simple as
to write the code in R itself.
An idea should be to use R in a "multivariate" fashion: if I can get
factors of a multivariate random variable, I can build a random vector
Y_t using X_t, and its lags: Y_t = [ X_t, X_{t-l_1}, X_{t-l_2}, ...,
X_{t-l_k} ], and taking the factors of Y_t and of its margin without
the first component I think I'm done. Unfortunately, factor, sort,
unique all work only with univariate data.
Any other suggestion will be very appreciated...
Best regards, Massimo
--
Dr. Massimo Santini
Tel. Milano +390255006278, Crema +390373898227; Fax. +390255006373
<mailto:santini at dsi.unimi.it> <http://zorn.usr.dsi.unimi/~santini/>
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
More information about the R-help
mailing list