HMMCont: Hidden Markov Model for Continuous Observations Processes
Version 1.0

The package includes the functions designed to analyse continuous observations processes with the Hidden Markov Model approach. They include Baum-Welch and Viterbi algorithms and additional visualisation functions. The observations are assumed to have Gaussian distribution and to be weakly stationary processes. The package was created for analyses of financial time series, but can also be applied to any continuous observations processes.

AuthorMikhail A. Beketov
Date of publication2014-02-11 17:15:51
MaintainerMikhail A. Beketov <mikhail.beketov@gmx.de>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("HMMCont")

Getting started

Package overview

Popular man pages

baumwelchcont: Baum-Welch Algorithm
HMMCont-package: Hidden Markov Model for Continuous Observations Processes
hmmcontSimul: Simulation of an observation and underlying Markov processes...
hmmsetcont: Setting an initial HMM object
logreturns: Calculating Log-returns
Prices: A dummy data set of prices.
statesDistributionsPlot: Probability Density Functions of the States
See all...

All man pages Function index File listing

Man pages

baumwelchcont: Baum-Welch Algorithm
HMMCont-package: Hidden Markov Model for Continuous Observations Processes
hmmcontSimul: Simulation of an observation and underlying Markov processes...
hmmsetcont: Setting an initial HMM object
logreturns: Calculating Log-returns
Prices: A dummy data set of prices.
statesDistributionsPlot: Probability Density Functions of the States
viterbicont: Viterbi Algorithm

Functions

Files

NAMESPACE
data
data/Prices.rda
R
R/statesDistributionsPlot.R
R/summary.ContObservHMM.R
R/print.ContObservHMM.R
R/viterbicont.R
R/hmmcontSimul.R
R/hmmsetcont.R
R/baumwelchcont.R
R/logreturns.R
R/plot.ContObservHMM.R
MD5
DESCRIPTION
man
man/viterbicont.Rd
man/hmmsetcont.Rd
man/hmmcontSimul.Rd
man/statesDistributionsPlot.Rd
man/Prices.Rd
man/baumwelchcont.Rd
man/HMMCont-package.Rd
man/logreturns.Rd
HMMCont documentation built on May 19, 2017, 11:25 a.m.

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