knitr::opts_chunk$set( collapse = TRUE, comment = "#>" )
To specify a model in fHMM, you only need to define the named list controls
and pass it to fit_hmm
, i.e.
define controls = list(<parameters>)
and
call fit_hmm(controls)
for estimation.
The list controls
can contain the following parameters. You can either specify none, all, or selected parameters. Unspecified parameters are set to default values.
path
A character, setting the path where model results get saved. The default is path = tempdir()
(the path of the per-session temporary directory). We recommend to set a path to your current working directory, e.g. path = "."
.
id
A character, which identifies a model. The default is id = "test"
. We recommend to set a meaningful identification, e.g. id = "dax_hmm_2_states"
.
model
This control determines the type model that you want to estimate and can be one of
"hmm"
(to estimate a hidden Markov model),
"hhmm"
(to estimate a hierarchical hidden Markov model).
The default is model = "hmm"
.
states
This control determines the number of states and depends on the control model
.
If model = "hmm"
, states
is an integer. If states = x
, a hidden Marko model with x
states is estimated.
If model = "hhmm"
, states
is a numeric vector of length two. If states = c(x,y)
, a hierarchical hidden Markov model with x
coarse-scale and y
fine-scale states is estimated.
The default is states = 2
, which defines a 2-state hidden Markov model.
sdds
This control determines the state-depenent distributions and depends on the control model
.
If model = "hmm"
, states
is one of the following values.
If model = "hhmm"
, states
is a vector of length two, containing the following values. The first entry defines the state-depenent distribution for the coarse scale, the second entry for the fine scale, respectively.
The following state-depenent distributions can be defined:
"t"
, the t-distribution,
"t(x)"
, the t-distribution with x
fixed degrees of freedom (x = Inf
yields the normal distribution),
"gamma"
, the gamma distribution.
For example, sdds = c("t","t(1)")
defines the t-distribution for the coarse scale (degrees of freedom get estimated) and the t-distribution with one degree of freedom for the fine scale.
The default is sdds = "t"
, which defines state-dependent t-distributions.
horizon
This control determines the length of the time horizon and depends on the control model
.
If model = "hmm"
, horizon
is an integer and determines the length of the time horizon for simulated data.
If model = "hhmm"
, horizon
is a vector of length two. The first entry is numeric and defines the time horizon for the coarse scale for simulated data. The second entry defines the time horizon for the fine scale for simulated data and for empirical data and can be either numeric or one of
"w"
for weekly fine-scale chunks,
"m"
for monthly fine-scale chunks,
"q"
for quarterly fine-scale chunks,
"y"
for yearly fine-scale chunks.
The default is horizon = 1000
, which simulates 1000 data points from a hidden Markov model.
data
A list which contains the following controls that specify the processing of data. If data = NA
(the default), data gets simulated.
source
Either a character (if model = "hmm"
) or a character vector of length 2 (if model = "hhmm"
), containing the file names of the empirical data.
If source = NA
or source = c(NA,NA)
, respectively, data is simulated.
If source = "x"
, data "x.csv" in folder "path
/data" is modeled by a HMM.
If source = c("x","y")
, data "x.csv" (type determined by cs_type
) on the coarse scale and data "y.csv" in folder "path
/data" on the fine scale is modeled by a HHMM.
column
Either a character (if model = "hmm"
) or a character vector of length 2 (if model = "hhmm"
), containing the names of the desired columns of source
.
truncate
A vector of length 2, containing lower and upper date limits (each in format "YYYY-MM-DD"
) to select a subset of the empirical data (neither, one or both limits can be specified).
The default is truncate = c(NA,NA)
, i.e. no limits get specified.
cs_transform
A character, determining the transformation of empirical coarse-scale data in hierarchical hidden Markov models.
The character has to be a function of x
, where x
is the corresponding fine-scale data. The function must concentrate x
into a single value.
For example,
cs_transform = "mean(x)"
defines the mean of the fine-scale data as the coarse-scale observation,
cs_transform = "mean(abs(x))"
defines the mean of the absolute values of the fine-scale data as the coarse-scale observation,
cs_transform = "sum(abs(x))"
defines the sum of the absolute values of the fine-scale data as the coarse-scale observation,
cs_transform = "(tail(x,1)-head(x,1))/head(x,1)"
defines the relative change of the first and the last fine-scale observation as the coarse-scale observation.
Practically, any transformation can be defined.
log_returns
Either a boolean (if model = "hmm"
) or a boolean vector of length 2 (if model = "hhmm"
), determining whether empirical data should be transformed to log-returns.
fit
A list which contains the following controls that specify the estimation.
runs
A numeric value, setting the number of optimization runs.
The default is runs = 100
.
at_true
A boolean, determining whether the optimization is initialized at the true parameter values.
Only for simulated data, sets runs = 1
and accept = "all"
.
The default is at_true = FALSE
.
seed
A numeric value, setting a seed for the simulation and the optimization.
Per default, no seed is set.
accept
Either a numeric vector (containing acceptable exit codes of the nlm optimization) or the character "all"
(accepting all codes).
The default is accept = c(1,2)
.
print.level
Passed on to nlm.
The default is print_level = 0
.
gradtol
Passed on to nlm.
The default is gradtol = 1e-6
.
stepmax
Passed on to nlm.
The default is stepmax = 1
.
steptol
Passed on to nlm.
The default is steptol = 1e-6
.
iterlim
Passed on to nlm.
The default is iterlim = 200
.
scale_par
Either a numeric (if model = "hmm"
) or a numeric vector of length 2 (if model = "hhmm"
), scaling the model parameters in a simulation on the coarse and fine scale, respectively.
The default is scale_par = 1
, i.e. the model parameters for simulation do not get scaled.
results
A list which contains the following controls that specify the output.
overwrite
A boolean, determining whether overwriting of existing results (on the same id
) is allowed. It is set to TRUE
if id = "test"
.
The default is overwrite = FALSE
.
ci_level
A numeric value between 0 and 1, setting the level for the confidence intervals of the model parameters.
The default is ci_level = 0.95
.
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