fHMM_model: Constructor of a model object
In fHMM: Fitting Hidden Markov Models to Financial Data

fHMM_model

R Documentation

Constructor of a model object

This function constructs an object of class fHMM_model, which contains details about the fitted (hierarchical) Hidden Markov model.

fHMM_model(
  data,
  estimate,
  nlm_output,
  estimation_time,
  ll,
  lls,
  gradient,
  hessian,
  decoding
)

`data`	An object of class `fHMM_data`.
`estimate`	A `numeric` vector of unconstrained model estimates.
`nlm_output`	The output of `nlm` for the selected optimization run.
`estimation_time`	A `diff.time` object, the total estimation time.
`ll`	A `numeric`, the model log-likelihood.
`lls`	A `numeric` vector, the model log-likelihoods in all optimization runs.
`gradient`	A `numeric` vector, the gradient at the optimum.
`hessian`	A `matrix`, the Hessian at the optimum.
`decoding`	A `numeric` vector, the decoded time series.