[R] Markov chain resources and questions

[kjetil@entelnet.bo]

On 19 Oct 2003 at 11:02, Paul Meagher wrote:

You could look at chapter 5 of Jim Lindset's online document

"The statistical analysis of stochastic processes in Time", at his 
website, www.luc.ac.be/~jlindsey
At this site there is also a collection of R functions for his
examples.

Kjetil Halvorsen

> Can someone give me a pointer to where I should be looking for markov chain
> resources in R?
> 
> Longer term, I am also interested in the question of whether explanatory
> variables can coupled to a probability transition matrix to assist in
> predicting the next state that a an object/system will go into.  I'm
> imagining that this gets kind of ugly when you have nominal data (i.e., the
> next state) that you are trying to predict using a transition matrix and you
> want to try to boost your predictive power by incorporating other regressor
> variables.  Can this be done, how, and is there something in R that does
> this?
> 
> Another issue is how to assess the potential usefulness of the probability
> transition matrix and the corresponding frequency matrix.  If your frequency
> matrix only has a few observations in each cell then it is not too useful
> for predictive purposes.  Also, if the probabilties are close to .50 in all
> the cells, again it is not useful because it is not "informative" about the
> next state.  Is their research that speaks to the issue of assessing the
> "utility" or "informativeness" of the transition matrix for predictive
> purposes.
> 
> Regards,
> Paul Meagher
> 
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