Dear All,
I am a bit struggling with the many packages for Markov models available in R. Apologies for now posting a code snippet, but I am looking for some guidance here.
Please consider a set like the one below (which you can get with

data<-read.csv('http://dl.dropboxusercontent.com/u/5685598/data_table.csv') ).

   ID      therapy   age1 age2 EFS
  7308   ormo_lunga   78   84  73
  7308   ormo_medio   78   84  73
  7308   ormo_lunga   78   84  73
  4902 chemio_lunga   46   56 120
  4902   ormo_lunga   46   56 120
  4902   ormo_lunga   46   56 120
  4902   ormo_breve   46   56 120
  4902 chemio_lunga   46   56 120
  4902   ormo_breve   46   56 120
  5299   ormo_lunga   61   70 100
  5299   ormo_breve   61   70 100
  5299 chemio_breve   61   70 100
  5299 chemio_lunga   61   70 100
  5926   ormo_lunga   66   67   3
  5926   ormo_lunga   66   67   3
  5926   ormo_breve   66   67   3
  5926   ormo_medio   66   67   3
  5926 chemio_lunga   66   67   3
  5926   ormo_breve   66   67   3
  5374   ormo_lunga   39   59 242
  5374   ormo_lunga   39   59 242
  5374   ormo_lunga   39   59 242
  4912   ormo_medio   40   50 124
  4912 chemio_lunga   40   50 124
  4912 chemio_lunga   40   50 124
  4912   ormo_breve   40   50 124
  4912 chemio_lunga   40   50 124
  4532   ormo_breve   61   63  26
  4532   ormo_breve   61   63  26
  4532 chemio_lunga   61   63  26

I have a list of (short) series of states identified by the ID of the patient who undergoes several therapies. I then have other info about each patient (for instance its age when the disease was first detected and so on). The point is to calculate the transition matrix for the sequence of therapies undergone by the patients and then possibly use the complementary information available for the patients. The purpose is not so much to understand whether the patient will be alive or dead (this info is not available for all the patients after its last therapy), but to try to guess the next therapy one is likely to undergo at some stage using a Markovian model. Let us assume that all patients are given the i-th therapy cycle at the same time. I did some experiments with the mcm package (http://cran.r-project.org/web/packages/msm/index.html), but I am banging a bit my head against the wall. In general, I do not have a death state and time does not play a particular role here (I could say that the i-th therapy is given at time i, but this is arbitrary). Later on this may change, though, a time sequence may be introduced for the therapies of each patient (varying from patient to patient).
Any suggestion is appreciated.
Cheers

Lorenzo

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