[R] R package for estimating markov transition matrix from observations + confidence?

[Michael Dewey]

At 19:18 09/05/2009, U.H wrote:
>Dear R gurus,
>
>I have data for which I want to estimate the markov transition matrix
>that generated the sequence, and preferably obtain some measure of
>confidence for that estimation.

  RSiteSearch("markov", restrict = "function")
shows that there are numerous packages on CRAN with Markov in their 
name or documentation. Does any of them help?


>e.g., for a series such as
>  1 3 4 1 2 3 1 2 1 3 4 3 2 4 2 1 4 1 2 4 1 2 4 1 2 1 2 1 3 1
>
>I would want to get an estimate of the matrix that generated it
>
>[[originally:
>     [,1] [,2] [,3] [,4]
>[1,] 0.00 0.33 0.33 0.33
>[2,] 0.33 0.00 0.33 0.33
>[3,] 0.33 0.33 0.00 0.33
>[4,] 0.33 0.33 0.33 0.00
>]]
>
>and the confidence in that estimation.
>
>I know that generating the cross--tab matrix is trivial, but if there
>is a package that does that  and provides a likelihood as well, I'd
>appreciate knowing about it.
>
>Best,
>Uri

Michael Dewey
http://www.aghmed.fsnet.co.uk