NEWS.md

In fHMM: Fitting Hidden Markov Models to Financial Data

1.1.1

• Fixed documenting the new special sentinel "_PACKAGE" for the package help file, see https://github.com/r-lib/roxygen2/issues/1491.

1.1.0

• Extended the time horizon of saved data and updated models for demonstration.
• The download_data() function now returns the data as a data.frame by default. However, specifying argument file still allows for saving the data as a .csv file.
• The plot.fHMM_model() function now has the additional argument ll_relative (default is TRUE) to plot the relative log-likelihood values when plot_type = "ll".
• Significantly increased the test coverage and fixed minor bugs.
• Changed color of time series plot from "lightgray" to "black" for better readability.
• Added a title to the time series plot when calling plot.fHMM_model(plot_type = "ts"). Additionally, a time interval with arguments from and to can be selected to zoom into the data.

1.0.3

• We added the following methods for an fHMM_model object: AIC(), BIC(), logLik(), nobs(), npar(), residuals().
• The log-normal distribution can now be estimated by setting sdds = "lnorm" in the controls object.

1.0.2

• Fixed bug in reorder_states() that did not order the fine-scale parameter sets when the coarse-scale order was changed.
• Fixed bug in parameter_labels() that returned the wrong order of parameter labels.
• Changed plot type of simulated data to lines.

1.0.1

• In the vignette 'Controls', in the section about example specifications for controls, corrected sdds = "gamma(mu = -1|1)" to sdds = "gamma(mu = 0.5|2)" because mean of the Gamma distribution must be positive.
• Added digits argument to print.fHMM_predict().
• Fixed bug in reorder_states() that allowed for misspecification of state_order.
• Added option to fit_model() to initialize at the estimates of another model (#73).

1.0.0

• Enhanced the package by S3 classes.
• Added more controls specifications.
• Included a prediction function.
• Improved documentations.

0.3.0

• Added vignettes.
• Improved specification of controls.
• Created a package start-up message.
• Fixed minor bugs.

0.2.0

• Improved documentation of functions and README.
• Improved specification of controls. (#37 and #38)

0.1.0

• Initial version.

fHMM documentation built on Oct. 12, 2023, 5:10 p.m.