R help - May 2007 - Analysis for Binary time series

hi,
 
hi, good morning everyone. I have a time series with binary outputs like :
0001011110100.................etc. Now I want to forecast the future values of
that. Can anyone please tell me whether there is any tools exist in literature 
for dealing with this kind of binary observation? If possible please provide me
some good references in net as well.
 
rgd,
Megh

__________________________________________________



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Hi Megh,

One good reference for your problem could be 

Harvey(1989), "Forecasting, Structural Time Series Models and the Kalman
Filter", Cambridge University Press.

In section 6.6.2, he includes the treatment of binomial and multinomial
observations using state space models.

Hope it helps,

Leonardo Trujillo

____________________________________________
Leonardo Trujillo
Division of Social Statistics
University of Southampton
trujillo at soton.ac.uk
--------------------------------------------  

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Megh Dal
Sent: 04 May 2007 08:12
To: r-help at stat.math.ethz.ch
Subject: [R] Analysis for Binary time series

hi,
 
hi, good morning everyone. I have a time series with binary outputs like
: 0001011110100.................etc. Now I want to forecast the future
values of that. Can anyone please tell me whether there is any tools
exist in literature  for dealing with this kind of binary observation?
If possible please provide me some good references in net as well.
 
rgd,
Megh

__________________________________________________



	[[alternative HTML version deleted]]

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>>>>> "Megh" == Megh Dal <megh700004 at
yahoo.com>
>>>>>     on Fri, 4 May 2007 00:12:25 -0700 (PDT) writes:
    Megh> hi, good morning everyone. I have a time series with
    Megh> binary outputs like :
    Megh> 0001011110100.................etc. Now I want to
    Megh> forecast the future values of that. Can anyone please
    Megh> tell me whether there is any tools exist in literature
    Megh> for dealing with this kind of binary observation? If
    Megh> possible please provide me some good references in net
    Megh> as well.
 
Since you're asking on R-help :

 The R package "VLMC" (variable length markov chains) works with
 such "finite alphabet" time-series and has been applied to such
 successfully in the past.

Do
      install.packages("VLMC")
      library(VLMC)
      ?vlmc

It contains the following

References

  Buhlmann P. and Wyner A. (1998) Variable Length Markov Chains. 
  Annals of Statistics 27, 480--513.

  M?chler M. and B?hlmann P. (2004) Variable Length Markov Chains:
  Methodology, Computing, and Software. 
  J. Computational and Graphical Statistics 2, 435--455.


-- 
Martin Maechler, ETH Zurich