fit_model: Model fitting

In fHMM: Fitting Hidden Markov Models to Financial Data

Model fitting

Description

This function fits a HMM to fHMM_data via numerical likelihood maximization.

Usage

fit_model(data, ncluster = 1, seed = NULL, verbose = TRUE, init = NULL)

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

Arguments

data	An object of class fHMM_data.
ncluster	Set the number of clusters for parallelization. By default, ncluster = 1.
seed	Set a seed for the sampling of initial values. No seed by default.
verbose	Set to TRUE to print progress messages.
init	Optionally an object of class parUncon for initialization. This can for example be the estimate of a previously fitted model model, i.e. the element model$estimate. The initial values are computed via replicate(n, jitter(init, amount = 1), simplify = FALSE), where n <- data$controls$fit$runs.
x	An object of class fHMM_model.
...	Currently not used.

Details

The function is parallelized if ncluster > 1.

Value

An object of class fHMM_model.

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