Message-ID: <Zen-1M3QGl-0005mJ-Ll@smarthost01.mail.zen.net.uk>
Date: 2009-05-11T07:49:17Z
From: Michael Dewey
Subject: R package for estimating markov transition matrix from observations + confidence?
In-Reply-To: <32078b1e0905091118k550611e5u2ec3ebe259db1244@mail.gmail.co m>
At 19:18 09/05/2009, U.H wrote:
>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.
RSiteSearch("markov", restrict = "function")
shows that there are numerous packages on CRAN with Markov in their
name or documentation. Does any of them help?
>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
Michael Dewey
http://www.aghmed.fsnet.co.uk