fHMM_parameters: Set and check model parameters

In fHMM: Fitting Hidden Markov Models to Financial Data

Set and check model parameters

Description

This function sets and checks model parameters for the {fHMM} package.

Usage

fHMM_parameters(
  controls,
  Gamma = NULL,
  mus = NULL,
  sigmas = NULL,
  dfs = NULL,
  Gammas_star = NULL,
  mus_star = NULL,
  sigmas_star = NULL,
  dfs_star = NULL,
  seed = NULL,
  scale_par = c(1, 1)
)

## S3 method for class 'fHMM_parameters'
print(x, ...)

Arguments

controls	An object of class fHMM_controls.
Gamma	A matrix, a tpm (transition probability matrix) of dimension controls$states[1].
mus	A numeric vector of expectations of length controls$states[1].
sigmas	A numeric vector of standard deviations of length controls$states[1].
dfs	A numeric vector of degrees of freedom of length controls$states[1]. Only relevant in case of a state-dependent t-distribution.
Gammas_star	A list of length controls$states[1] of (fine-scale) tpm's. Each tpm must be of dimension controls$states[2].
mus_star	A list of length controls$states[1] of numeric vectors of (fine-scale) expectations. Each vector must be of length controls$states[2].
sigmas_star	A list of length controls$states[1] of numeric vectors of standard deviations. Each vector must be of length controls$states[2].
dfs_star	A list of length controls$states[1] of numeric vectors of (fine-scale) degrees of freedom. Each vector must be of length controls$states[2]. Only relevant in case of a state-dependent t-distribution.
seed	Set a seed for the sampling of parameters. No seed per default.
scale_par	A positive numeric vector of length two, containing scales for sampled expectations and standard deviations. The first entry is the scale for mus and sigmas, the second entry is the scale for mus_star and sigmas_star. Set an entry to 1 for no scaling.
x	An object of class fHMM_parameters.
...	Currently not used.

Details

See the vignette on the model definition for more details.

Value

An object of class fHMM_parameters.

Examples

controls <- set_controls()
fHMM_parameters(controls)

fHMM documentation built on Oct. 12, 2023, 5:10 p.m.