GenMarkov

CRANGenMarkovMaRDI QIDQ119116FDOQ119116

Multivariate Markov Chains

Last update: 19 December 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.1.0, 0.2.0

Description

Provides routines to estimate the Mixture Transition Distribution Model based on Raftery (1985) <http://www.jstor.org/stable/2345788> and Nicolau (2014) <doi:10.1111/sjos.12087> specifications, for multivariate data. Additionally, provides a function for the estimation of a new model for multivariate non-homogeneous Markov chains. This new specification, Generalized Multivariate Markov Chains (GMMC) was proposed by Carolina Vasconcelos and Bruno Damasio and considers (continuous or discrete) covariates exogenous to the Markov chain.

Cites work

A New Model for Multivariate Markov Chains

This page was built for software: GenMarkov