GenMarkov
Multivariate Markov Chains
Carolina Vasconcelos, Bruno Damasio
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
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.
