Man pages for fHMM
Fitting Hidden Markov Models to Financial Data

check_dateCheck date format
compare_modelsCompare multiple models
compute_ciCompute confidence intervals
compute_residualsCompute (pseudo-) residuals
compute_T_starCompute lengths of fine-scale chunks
daxDeutscher Aktienindex (DAX) index data
dax_model_2nDAX 2-state HMM with normal distributions
dax_model_3tDAX 3-state HMM with t-distributions
dax_vw_modelDAX/VW hierarchical HMM with t-distributions
decode_statesDecode the underlying hidden state sequence
download_dataDownload financial data from Yahoo Finance
fHMM_colorsSet color scheme for visualizations
fHMM_dataConstructor of an 'fHMM_data' object
fHMM_eventsChecking events
fHMM_modelConstructor of a model object
fHMM-packagefHMM: Fitting Hidden Markov Models to Financial Data
fHMM_parametersSet and check model parameters
fHMM_sddsDefine state-dependent distributions
find_closest_yearFind closest year
fit_modelModel fitting
get_initial_valuesInitialization of numerical likelihood optimization
ll_hmmLog-likelihood function of an (H)HMM
nLL_hhmmNegative log-likelihood function of an HHMM
nLL_hmmNegative log-likelihood function of an HMM
parameter_labelsCreate labels for estimated parameters
parameter_transformationsParameter transformations
plot.fHMM_dataPlot method for an object of class 'fHMM_data'
plot.fHMM_modelPlot method for an object of class 'fHMM_model'
plot_llVisualization of log-likelihood values
plot_prVisualize pseudo residuals
plot_sddsVisualization of estimated state-dependent distributions
plot_tsVisualize time series
prepare_dataPrepare data
read_dataRead data
reorder_statesReorder estimated states
set_controlsDefine and validate model specifications
sim_model_2gammaSimulated 2-state HMM with gamma distributions
simulate_hmmSimulate data
simulate_observationsSimulate state-dependent observations
spxStandard & Poor’s 500 (S&P 500) index data
unempUnemployment rate data USA
unemp_spx_model_3_2Unemployment rate and S&P 500 hierarchical HMM
vwVolkswagen AG (VW) stock data
fHMM documentation built on Sept. 11, 2024, 6:22 p.m.