Variable Length Markov Chain (VLMC) models provide parsimonious high order Markov chains which can have a finite but long memory without suffering from the computational and estimation problems associated to dense high order Markov chain. This is achieved using the notion of context.

We consider a time series \(x=(x_i)_{i\geq
1}\) with values in a finite set \(S\), its state space. A context \(c\) is a finite sequence of elements of
\(S\), \(c=(c_k, \ldots, c_1)\) *observed* in
\(x\). \(c\) is *observed* in \(x\) if there is \(t\) such that \[
x_{t-1}=c_1, x_{t-2}=c_2, \ldots, x_{t-k}=c_k.
\] Notice that \(c\) is numbered
in a *reverse* order, in the sense that \(c_1\) is the most recent value in \(x\) while \(c_k\) is the oldest one. Thus the
sub-sequence observed in \(x\). In
numerous papers, for instance in the works of Bühlmann and Wyner, the
convention is to reverse the temporal order and to write \(c=(c_1, \ldots, c_k)\), keeping \(c_1\) as the most recent value and \(c_k\) as the oldest one. In
`mixvlmc`

we use the more natural convention of writing
contexts in temporal order, but many functions offer a
`reverse`

parameter than can be used to switch to Bühlmann
and Wyner convention.

Back to examples, if \(S=\{0, 1\}\) and \(x=(0, 0, 0, 1, 1, 1)\)

- \((0, 0)\) is a context of \(x\) with \(t=3\) and \(t=4\);
- \((0, 1, 0)\) is not a context of \(x\).

The contexts of a time series can be represented by a tree. The root of the tree stands for the empty context. The children of the root represent the contexts of length 1. In general, if a node represents the context \(c=(c_k, \ldots, c_1)\), then contexts of the form \(c'=(c_{k+1}, c_k, \ldots, c_1)\) are represented by the children of the node. Descending in the context tree corresponds to adding to the past of the context.

Let us consider again \(x=(0, 0, 0, 1, 1,
1)\) and all contexts that appear *at least twice* in
\(x\) (i.e. which are observed for at
least two different values of \(t\)).
An ASCII art representation of the corresponding context tree is:

```
*
+-- 0
| '-- 0
'-- 1
```

The tree represents 2 size one contexts (\((0)\) and \((1)\)), the direct children of the root
(shown as a star `*`

). It represents in addition 1 size 2
contexts, \((0, 0)\). Notice that for
instance, \((1, 0)\) is not a context
in the tree as the node of context \((0)\) has only one child labelled by \(0\).

Mixvlmc can be used to compute all the contexts of a time series
using the `ctx_tree()`

function/constructor as follows:

```
x <- c(0, 0, 0, 1, 1, 1)
library(mixvlmc)
x_ctx <- ctx_tree(x)
x_ctx
#> Context tree on 0, 1
#> Number of contexts: 3
#> Maximum context length: 2
```

The result of `ctx_tree()`

is a `ctx_tree`

object. It can be drawn using ascii art

The default extraction is done with `min_size=2`

and
`max_depth=10`

which means that

- contexts are included only if they appear at least twice in the time series;
- the maximum length of a context is 10 (the term
*depth*is used in reference to the tree representation).

Notice that the number of potential contexts grows exponentially with
the length of the time series and it is therefore advisable to keep
`max_depth`

to a reasonable value. Let us consider a simple
example.

```
set.seed(0)
y <- sample(c("a", "b", "c"), 100, replace = TRUE)
y_ctx_def <- ctx_tree(y)
y_ctx_def
#> Context tree on a, b, c
#> Number of contexts: 77
#> Maximum context length: 6
```

With the default parameters, we end up with already 77 contexts.
Setting `min_size=1`

gives an unreasonable number of
contexts:

```
y_ctx_min_1 <- ctx_tree(y, min_size = 1)
y_ctx_min_1
#> Context tree on a, b, c
#> Number of contexts: 4607
#> Maximum context length: 99
```

Even if we decrease the depth limit the number of contexts remains very large:

```
y_ctx_min_1_d_15 <- ctx_tree(y, min_size = 1, max_depth = 15)
y_ctx_min_1_d_15
#> Context tree on a, b, c
#> Number of contexts: 1037
#> Maximum context length: 15
```

Contexts can be extracted from a context tree using the
`contexts()`

function as follows:

In general, the raw list of contexts is not directly useful and one
should use the node manipulation functions to leverage it (see below). A
simple approach consists in asking to `contexts()`

a
`data.frame`

output that will contain additional information
about the contexts. This is done implicitly when additional parameters
are given to `contexts()`

. In the simple case of
`ctx_tree`

, setting the `frequency`

parameter to
`"total"`

or `"detailed"`

gives access to the
distribution of \(x_t\) for all the
\(t\) at which a context appears.

context | freq |
---|---|

0, 0 | 2 |

0 | 3 |

1 | 2 |

With `frequency = "total"`

, we obtain a data frame with a
column `freq`

that contains the number of occurrences of each
context.

context | freq | 0 | 1 |
---|---|---|---|

0, 0 | 2 | 1 | 1 |

0 | 3 | 2 | 1 |

1 | 2 | 0 | 2 |

With `frequency = "detailed"`

, we obtain *in
addition* a column for each value in the state space \(S\) which contains the distribution of
\(x_t\) for the occurrences of each
context. For instance in the table above, the context \((0, 0)\) appears twice in \(x\) and is followed once by \(0\) and once by \(1\).

Another way to extract information from a context tree, especially
large ones, it to operate at the node level, using the
`find_sequence()`

function (or the `contexts()`

function). For instance exploring the 4607 contexts obtained above with
`min_size=1`

is not convenient, but we may be interested by
e.g. the sequence `c("a", "a", "a")`

. We look for a
corresponding node in the tree with

```
node_aaa <- find_sequence(y_ctx_min_1, c("a", "a", "a"))
node_aaa
#> Sequence [T]: a, a, a
#> followed by a (3), b (2), c (2)
```

As the result is not `NULL`

, we know that the sequence
appears in the original time series. It is not a context, as shown
by

In this particular case, it is likely to be caused by longer contexts
for which `c("a", "a", "a")`

is a suffix. This can be
verified by looking at the children of `node_aaa`

:

```
children(node_aaa)
#> $a
#> Context [T]: a, a, a, a
#> followed by a (0), b (1), c (2)
#>
#> $b
#> Context [T]: b, a, a, a
#> followed by a (1), b (0), c (0)
#>
#> $c
#> Context [T]: c, a, a, a
#> followed by a (2), b (1), c (0)
```

This shows that we have indeed three contexts that all end by
`c("a", "a", "a")`

.

Nodes carry information about the sequences or contexts they
represent. The number of occurrences of a sequence in the original time
series is obtained with the `counts()`

function as
follows:

Notice that as with `contexts()`

those occurrences cover
only positions where the sequence is followed by at least one value. The
distribution of those values is given by another call to
`counts()`

:

total | a | b | c |
---|---|---|---|

7 | 3 | 2 | 2 |

If sequence positions were saved during the construction of the
context tree, the `ctx_node`

can report them using the
`positions()`

function:

See the documentation of the function for the definition of a position.