[R] stats on transitions from one state to another

[Berend Hasselman]

On 20-02-2012, at 16:11, <Murali.Menon at avivainvestors.com> <Murali.Menon at avivainvestors.com> wrote:

> Folks,
> 
> I'm trying to get stats from a matrix for each transition from one state to another.
> 
> I have a matrix x as below.
> 
> structure(c(0, 2, 2, 2, 0, 0, 0, 1, 1, 1, 1, 2, 2, 1, 1, 1, 0, 
> 0, 2, 2, 0.21, -0.57, -0.59, 0.16, -1.62, 0.18, -0.81, -0.19, 
> -0.76, 0.74, -1.51, 2.79, 0.41, 1.63, -0.86, -0.81, 0.39, -1.38, 
> 0.06, 0.84, 0.51, -1, -1.29, 2.15, 0.39, 0.78, 0.85, 1.18, 1.66, 
> 0.9, -0.94, -1.29, -0.23, -0.92, -0.21, 1.02, -0.77, -0.68, -0.33, 
> 0.04), .Dim = c(20L, 3L), .Dimnames = list(NULL, c("State", "V1", 
> "V2")))
> 
> Is it possible to get, say, mean values of each variable in state 1 when the previous state was 0, in state 2 when the previous state was 0, and so on with all available transitions between states 0, 1, 2?
> 
> In the above case, mean of V1 in state 2 when previous state was 0 would be 
> 
> mean(c(-0.57, -0.59, 0.16, 0.06, 0.84)) = -0.02
> 

What do you mean by previous state.
I do this 

> x <- cbind(c(NA, x[,"State"][-nrow(x)]), x)
> colnames(x)[1] <- "State.prev"
> x
      State.prev State    V1    V2
 [1,]         NA     0  0.21  0.51
 [2,]          0     2 -0.57 -1.00
 [3,]          2     2 -0.59 -1.29
 [4,]          2     2  0.16  2.15
 [5,]          2     0 -1.62  0.39
 [6,]          0     0  0.18  0.78
 [7,]          0     0 -0.81  0.85
 [8,]          0     1 -0.19  1.18
 [9,]          1     1 -0.76  1.66
[10,]          1     1  0.74  0.90
[11,]          1     1 -1.51 -0.94
[12,]          1     2  2.79 -1.29
[13,]          2     2  0.41 -0.23
[14,]          2     1  1.63 -0.92
[15,]          1     1 -0.86 -0.21
[16,]          1     1 -0.81  1.02
[17,]          1     0  0.39 -0.77
[18,]          0     0 -1.38 -0.68
[19,]          0     2  0.06 -0.33
[20,]          2     2  0.84  0.04

The mean of V1 in state 2 when the previous state is 0 would be in my interpretation

mean(c(-0.57, 0.06))

> while the mean of V1 in state 0 when previous state was 2 would be:
> 
> mean(c(1.62, 0.18, -0.81)) = 0.33
> 

Your second case would be the mean of -1.62

Berend