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
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