Abstract
This article presents a tutorial and new, publicly available computational tools for variable length Markov chains (VLMC). VLMCs are Markov chains with the additional attractive structure that their memories depend on a variable number of lagged values, depending on what the actual past (the lagged values) looks like. They build a very flexible class of tree-structured models for categorical time series. Fitting VLMCs from data is a nontrivial computational task. We provide an efficient implementation of the so-called context algorithm which requires only O(n log(n)) operations. The implementation, which is publicly available, includes additional important new features and options: diagnostics, goodness of fit, simulation and bootstrap, residuals, and tuning the context algorithm. Our tutorial is presented with a version in R which is available from the Comprehensive R Archive Network (CRAN). The exposition is self-contained, gives rigorous and partly new mathematical descriptions, and is illustrated by a...
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