CHING'S MARKOV CHAIN MODELS
PROGRAMMING PACKAGE
G. A. Spedicato, T. S. Kang, S. Bhargav and D. Yadav (2014) The Markov chain Package: a Package for Easily Handling Discrete Markov Chains in R
In Spedicato et al. (2014), the authors considered the problem of handling Markov chains by R. They proposed a Markovchain package which provides S4 classes and methods to analyze the Markov chains.
In order to deal with the higher order multivariate chain problem, the parsimonious high-order Markov chain model in Ching et al. (2008) is used. The authors in Spedicato et al. (2014) follows the idea behind the model to generate the code to analyze higher order multivariate chain in R. The model requires a total parameter of O(ns²m²) which is significantly less than the conventional one. With this advantage, the estimation problem can be easier to be transformed into a programming problem. The computational speed can be faster as well.
The Markov chain package presented in Spedicato et al. (2014) was acknowledged. It was selected for Google Summer of Code 2015 support.
W. Ching, M. Ng and E. Fung (2008). Higher-order Multivariate Markov Chains and
Their Applications, Linear Algebra and Its Applications, 428(2–3):492-507.
https://www.sciencedirect.com/science/article/pii/S0024379507002169