[R-sig-Geo] categorical AR or ARMA time series processes

Rolf Turner r.turner at auckland.ac.nz
Fri Jun 24 12:49:12 CEST 2011

On 24/06/11 21:57, Emanuele Cordano wrote:
> Dear all,
> I'm working on daily precipitation generation time series, in particular I
> want to model a binary time serries (wet/dry day) for several years. I read
> about Discrete-Value or Catagorical-value AR or ARMA techniques. They refer
> to  Pegram’s [Pegram, G.G.S., 1980. An autoregressive model for multilag
> markov chains. J. Appl. Probab. 17, 350–362] mixing operator and subsequent
> more recent works  like
> http://www.sciencedirect.com/science/article/pii/S0167715209001977 or
> http://www.sciencedirect.com/science/article/pii/S0378375809000330.
> Are these methods and Pegram's operetor  already implemented in some CRAN
> package  or something similar? I'm looking if there is something already
> implemented on which I can work?

The CRAN package hmm.discnp might be of some use to you.


Rolf Turner

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