r-cran-msm

GNU R Multi-state Markov and hidden Markov models in continuous time
  https://cran.r-project.org/package=msm
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Functions for fitting general continuous-time Markov and hidden Markov multi-state models to longitudinal data. Both Markov transition rates and the hidden Markov output process can be modelled in terms of covariates. A variety of observation schemes are supported, including processes observed at arbitrary times, completely-observed processes, and censored states.