Re: [R] Analysis for Binary time series

From: Martin Maechler <>
Date: Fri, 04 May 2007 18:56:49 +0200

>>>>> "Megh" == Megh Dal <>
>>>>> 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.



It contains the following


  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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