Fitting Hidden Markov Models to Financial Data


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Documentation for package ‘fHMM’ version 0.3.0

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apply_viterbi Viterbi algorithm
check_controls Check controls
check_decoding Decoding check
check_estimation Estimation check
check_saving Saving check
compute_ci Confidence intervals
compute_fs Fine-scale chunk lengths
create_visuals Visualization
download_data Data download
exception Debugging
fit_hmm Fit (hierarchical) hidden Markov models to financial data
init_est Initialisation
max_likelihood Optimization
parameter_names Parameter names
plot_ll Visualization of log-likelihood values
plot_sdd Visualization of estimated state-dependent distributions
plot_ts Visualize decoded time-series
process_data Data processing
pseudo_residuals Pseudo-residuals
read_data Read .csv-file
simulate_data Data simulation