[R] Markov chain resources and questions

2003-10-19 Thread Paul Meagher
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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Re: [R] Markov chain resources and questions

2003-10-19 Thread Spencer Graves
I just got several hits from www.r-project.org - search - R site 
search for Markov chain, Markov chain estimation, etc.  Have you 
tried that? 

help this helps.  spencer graves

Paul Meagher wrote:

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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Re: [R] Markov chain resources and questions

2003-10-19 Thread kjetil
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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 https://www.stat.math.ethz.ch/mailman/listinfo/r-help

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