[R] R package for estimating markov transition matrix from observations + confidence?

U.H zvalim at gmail.com
Sat May 9 20:18:58 CEST 2009


Dear R gurus,

I have data for which I want to estimate the markov transition matrix
that generated the sequence, and preferably obtain some measure of
confidence for that estimation.

e.g., for a series such as
 1 3 4 1 2 3 1 2 1 3 4 3 2 4 2 1 4 1 2 4 1 2 4 1 2 1 2 1 3 1

I would want to get an estimate of the matrix that generated it

[[originally:
    [,1] [,2] [,3] [,4]
[1,] 0.00 0.33 0.33 0.33
[2,] 0.33 0.00 0.33 0.33
[3,] 0.33 0.33 0.00 0.33
[4,] 0.33 0.33 0.33 0.00
]]

and the confidence in that estimation.

I know that generating the cross--tab matrix is trivial, but if there
is a package that does that  and provides a likelihood as well, I'd
appreciate knowing about it.

Best,
Uri




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