GenMarkov

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.

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