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2010 Jul 14
1
Entropy of a Markov chain
Does anyone have any "R" code for computing the entropy of a simple first or second order Markov chain, given a transition matrix something like the following (or the symbol vector from which it is computed)? AGRe ARIe CSRe DIRe DSCe eos HRMe SPTe TOBe AGRe 0.0000000 0.0000000 0.0000000 0.0000000 1.0000000 0.0000000 0.0000000 0.0000000 0.0000000 ARIe 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 1.0000000 0.0000000 0.0000000 0.0000000 CSRe 0.0000000 0.0000000 0.0000000 0.0000000 1.0000000 0.0000000 0.0000000 0.000...