gammasCon2Gamma: This function builds a transition probability matrix of...

In fHMM: Fitting Hidden Markov Models to Financial Data

This function builds a transition probability matrix of dimension dim from constrained non-diagonal elements gammasCon.

Description

This function builds a transition probability matrix of dimension dim from constrained non-diagonal elements gammasCon.

Usage

gammasCon2Gamma(gammasCon, dim)

Arguments

gammasCon	A vector of constrained non-diagonal elements of a transition probability matrix.
dim	The dimension of the transition probability matrix.

Value

A transition probability matrix.

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