[R] empirical A matrix for dynamic system and markov analyses

From: Vassily Shvets <shv736_at_yahoo.com>
Date: Tue 12 Jul 2005 - 18:39:34 EST


I'm working with a dynamic system that I've started to analyse using msm(I've emailed to chris, orignator of the program, separately, but maybe he's on holiday). I'd like to know if anyone has considered the relation between the markov analysis done with msm on the one hand, and dynamic system analysis done with MATLAB? That is, I'm working with a set of empirical data that are more or less comparable to the kind of 'hospital' analyses done in msm manual(my data has 4 states, and 'patients' move from one state to another over a time period, n is varying from 120 to much larger).

Using the msm program gives me a nice Q and P matrices for the system. However, I'm interested in making a non homogenous system out of it(introducing covariates, but covariates which also vary with time, so that the system is approximately dy = Ax + Bz ).

One reason I'd like to go further than msm is taking me right now is that the 'fit' statistic that msm provides is I think, sort of narrowly focused on the markov property. I guess I'm trying to ask if anyone has analyzed such empirical data using the state space system in MATLAB? The question also seems to involve a/the ML estimation done by msm versus b/ the least squares estimation of parameter that evidently is predominant in the 'estimation toolbox' that runs with MATLAB.
thanks,
s



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