Man pages for fHMM
Fitting Hidden Markov Models to Financial Data
| check_date | Check date format |
| coef.fHMM_model | Model coefficients |
| compare_models | Compare multiple models |
| compute_ci | Compute confidence intervals |
| compute_residuals | Compute (pseudo-) residuals |
| compute_T_star | Compute lengths of fine-scale chunks |
| dax | Deutscher Aktienindex (DAX) index data |
| dax_model_2n | DAX 2-state HMM with normal distributions |
| dax_model_3t | DAX 3-state HMM with t-distributions |
| dax_vw_model | DAX/VW hierarchical HMM with t-distributions |
| decode_states | Decode the underlying hidden state sequence |
| dfCon2dfUncon | This function un-constrains the constrained degrees of... |
| dfUncon2dfCon | This function constrains the un-constrained degrees of... |
| download_data | Download financial data from Yahoo Finance |
| fHMM_colors | Set color scheme for visualizations |
| fHMM_data | Constructor of an 'fHMM_data' object |
| fHMM_events | Checking events |
| fHMM_model | Constructor of a model object |
| fHMM-package | fHMM: Fitting Hidden Markov Models to Financial Data |
| fHMM_parameters | Set and check model parameters |
| fHMM_sdds | Define state-dependent distributions |
| find_closest_year | Find the closest year to a given date |
| fit_model | Model fitting |
| Gamma2delta | This function computes the stationary distribution of a... |
| Gamma2gammasCon | This function constrains the non-diagonal matrix elements of... |
| Gamma2gammasUncon | This function un-constrains the non-diagonal matrix elements... |
| gammasCon2Gamma | This function builds a transition probability matrix of... |
| gammasCon2gammasUncon | This function un-constrains the constrained non-diagonal... |
| gammasUncon2Gamma | This function builds a transition probability matrix from... |
| gammasUncon2gammasCon | This function constrains non-diagonal elements 'gammasUncon'... |
| is_number | Check for integers |
| is_tpm | Check for transition probability matrix |
| match_all | Best-possible match of two numeric vectors |
| muCon2muUncon | This function un-constrains the constrained expected values... |
| muUncon2muCon | This function constrains the un-constrained expected values... |
| nLL_hhmm | Negative log-likelihood function of an HHMM |
| nLL_hmm | Negative log-likelihood function of an HMM |
| npar | Number of model parameters |
| par2parCon | This function transforms an object of class 'fHMM_parameters'... |
| par2parUncon | This function transforms an object of class 'fHMM_parameters'... |
| parameter_labels | Create labels for estimated parameters |
| parCon2par | This function transforms an object of class 'parCon' into an... |
| parCon2parUncon | This function transforms an object of class 'parCon' into an... |
| parUncon2par | This function transforms an object of class 'parUncon' into... |
| parUncon2parCon | This function transforms an object of class 'parUncon' into... |
| plot.fHMM_data | Plot method for an object of class 'fHMM_data' |
| plot.fHMM_model | Plot method for an object of class 'fHMM_model' |
| plot_ll | Visualization of log-likelihood values |
| plot_pr | Visualize pseudo residuals |
| plot_sdds | Visualization of estimated state-dependent distributions |
| plot_ts | Visualize time series |
| predict.fHMM_model | Prediction |
| prepare_data | Prepare data |
| read_data | Read data |
| reorder_states | Reorder estimated states |
| residuals.fHMM_model | Residuals |
| sample_tpm | Sample transition probability matrices |
| set_controls | Set and validate controls |
| sigmaCon2sigmaUncon | This function un-constrains the constrained standard... |
| sigmaUncon2sigmaCon | This function constrains the un-constrained standard... |
| sim_model_2gamma | Simulated 2-state HMM with gamma distributions |
| sim_model_4lnorm | Simulated 4-state HMM with log-normal distributions |
| simulate_data | Simulate data |
| simulate_markov_chain | Simulate Markov chain |
| simulate_observations | Simulate state-dependent observations |
| spx | Standard & Poor’s 500 (S&P 500) index data |
| unemp | Unemployment rate data USA |
| unemp_spx_model_3_2 | Unemployment rate and S&P 500 hierarchical HMM |
| vw | Volkswagen AG (VW) stock data |
