View source: R/ForecastHMMPdf.R
ForecastHMMPdf | R Documentation |
This function computes the density function of a Gaussian HMM at time n+k, given observation up to time n.
ForecastHMMPdf(x, mu, sigma, Q, eta, k)
x |
points at which the density function is comptuted (mx1); |
mu |
vector of means for each regime (r x 1); |
sigma |
vector of standard deviations for each regime (r x 1); |
Q |
transition probality matrix (r x r); |
eta |
vector of the estimated probability of each regime (r x 1) at time n; |
k |
time of prediction. |
f |
values of the density function at time n+k |
w |
weights of the mixture |
Bouchra R Nasri and Bruno N RĂ©millard, January 31, 2019
Chapter 10.2 of B. RĂ©millard (2013). Statistical Methods for Financial Engineering, Chapman and Hall/CRC Financial Mathematics Series, Taylor & Francis.
mu <- c(-0.3 ,0.7) ; sigma <- c(0.15,0.05); Q <- matrix(c(0.8, 0.3, 0.2, 0.7),2,2) ;
eta <- c(.9,.1);
x <- seq(-1, 1, by = 0.01)
out <- ForecastHMMPdf(x,mu,sigma,Q,eta,3)
plot(x,out$f,type="l")
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