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VLMCX  

Variable Length Markov Chain with Exogenous Covariates
View on CRAN: Click here


Download and install VLMCX package within the R console
Install from CRAN:
install.packages("VLMCX")

Install from Github:
library("remotes")
install_github("cran/VLMCX")

Install by package version:
library("remotes")
install_version("VLMCX", "1.0")



Attach the package and use:
library("VLMCX")
Maintained by
Adriano Zanin Zambom Developer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-02-08
Latest Update: 2024-02-08
Description:
Models categorical time series through a Markov Chain when a) covariates are predictors for transitioning into the next state/symbol and b) when the dependence in the past states has variable length. The probability of transitioning to the next state in the Markov Chain is defined by a multinomial regression whose parameters depend on the past states of the chain and, moreover, the number of states in the past needed to predict the next state also depends on the observed states themselves. See Zambom, Kim, and Garcia (2022) <doi:10.1111/jtsa.12615>.
How to cite:
Adriano Zanin Zambom Developer (2024). VLMCX: Variable Length Markov Chain with Exogenous Covariates. R package version 1.0, https://cran.r-project.org/web/packages/VLMCX
Previous versions and publish date:
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