markovchainCrashIntro.pdf

Crash Introduction to markovchain R package Giorgio Alfredo Spedicato, Ph.D C.Stat ACAS June 14, 2015 Intro I The markovchain package (Spedicato 2015) will be introduced. I The package is intended to provide S4 classes to perform probabilistic and statistical analysis of Discrete Time Markov Chains (DTMC). See (Brémaud 1999) for a theoretical review of the mathematics underlying the DTMC models. I The vignette will show: how to load the package and create a DTMC, how to manage a DTMC, how to perform basic probabilistic analysis, how to fit a DTMC. I The package is on Cran since Summer 2013. I It requires a recent version of R (=3.0). Since version 0.2 parts of code have been moved to Rcpp (Eddelbuettel 2013). I The package won a slot in Google Summer of Code 2015 for optimizing internals and expanding functionalities. First moves into the markovchain package Loading the package I The package is loaded using #load the package library(markovchain) ## Package: markovchain ## Version: 0.2.5 ## Date: 2015-06-15 ## BugReport: /spedygiorgio/markovchain/issues Creating a DTMC I DTMC can be easily create following standard S4 classes syntax. The show method displays it. tmA - matrix(c(0,0.5,0.5,.5,0,.5,.5,.5,0),nrow = 3, byrow = TRUE) #define the transition matrix dtmcA - new(markovchain,transitionMatrix=tmA, states=c(a,b,c), name=MarkovChain A) #create the DTMC dtmcA ## MarkovChain A ## A 3 - dimensional discrete Markov Chain with following states ## a b c ## The transition matrix (by rows) is defined as follows ## a b c ## a 0.0 0.5 0.5 ## b 0.5 0.0 0.5 ## c 0.5 0.5 0.0 I Otherwise, it can also be created directly coercing a matrix. dtmcA2-as(tmA, markovchain) #using coerce from matrix states(dtmcA2) #note default names assigned to states ## [1] s1 s2 s3 I It is also possible to display a DTMC, using igraph package (Csardi and Nepusz 2006) capabilities plot(dtmcA) 0.5 0.5 0.5 a b c Probabilistic analysis The basic I It is possible to access transition probabilities and to