fHMM_data | R Documentation |
fHMM_data
objectThis function constructs an object of class fHMM_data
, which contains
the financial data for modeling.
fHMM_data(
dates,
time_points,
markov_chain,
data,
time_series,
T_star,
controls,
true_parameters
)
## S3 method for class 'fHMM_data'
print(x, ...)
## S3 method for class 'fHMM_data'
summary(object, ...)
dates |
The dates in the empirical case. |
time_points |
The time points in the simulated case. |
markov_chain |
The states in the simulated case. |
data |
The data for modeling. |
time_series |
The data before transformation. |
T_star |
The fine-scale chunk sizes. |
controls |
The |
true_parameters |
The |
x |
An object of class |
... |
Currently not used. |
object |
An object of class |
An object of class fHMM_data
, which is a list
containing
the following elements:
The matrix
of the dates
if simulated = FALSE
and
controls$data$data_column
is specified,
the matrix
of the time_points
if simulated = TRUE
or controls$data$data_column
is not specified,
the matrix
of the simulated markov_chain
if
simulated = TRUE
,
the matrix
of the simulated or empirical data
used for
estimation,
the matrix
time_series
of empirical data before the
transformation to log-returns if simulated = FALSE
,
the vector
of fine-scale chunk sizes T_star
if
controls$hierarchy = TRUE
,
the input controls
,
the true_parameters
.
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