BAYESIAN ANALYSIS OF NONHOMOGENEOUS MARKOV CHAINS: APPLICATION TO MENTAL HEALTH DATA Minje Sung , Refik Soyer , Nguyen Nhan "‡ # $ " Department of Biostatistics and Bioinformatics, Box 3454, Duke University Medical Center, Durham, NC 27710, USA. 2 Department of Management Science, The George Washington University, Washington, DC 20052, USA. 3 Research Director (now retired), Graydon Manor Psychiatric Center, Leesburg, VA, USA. *Corresponding author: Tel +1 919 687 4686, x-294; fax + 1 919 687 4737; e-mail msung@psych.duhs.duke.edu.