Re: [R] Analysis for Binary time series

From: Martin Maechler <maechler_at_stat.math.ethz.ch>
Date: Fri, 04 May 2007 18:56:49 +0200

>>>>> "Megh" == Megh Dal <megh700004_at_yahoo.com>
>>>>> on Fri, 4 May 2007 00:12:25 -0700 (PDT) writes:

    Megh> hi, good morning everyone. I have a time series with
    Megh> binary outputs like :
    Megh> 0001011110100.................etc. Now I want to
    Megh> forecast the future values of that. Can anyone please
    Megh> tell me whether there is any tools exist in literature
    Megh> for dealing with this kind of binary observation? If
    Megh> possible please provide me some good references in net
    Megh> as well.
 

Since you're asking on R-help :

 The R package "VLMC" (variable length markov chains) works with  such "finite alphabet" time-series and has been applied to such  successfully in the past.

Do

      install.packages("VLMC")
      library(VLMC)
      ?vlmc

It contains the following

References

  Buhlmann P. and Wyner A. (1998) Variable Length Markov Chains.   Annals of Statistics 27, 480--513.

  Mächler M. and Bühlmann P. (2004) Variable Length Markov Chains:   Methodology, Computing, and Software.   J. Computational and Graphical Statistics 2, 435--455.

-- 
Martin Maechler, ETH Zurich

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Received on Fri 04 May 2007 - 17:03:16 GMT

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