predict.fHMM_model: Prediction

In fHMM: Fitting Hidden Markov Models to Financial Data

Prediction

Description

This function predicts the next ahead states and data points based on an fHMM_model object.

Usage

## S3 method for class 'fHMM_model'
predict(object, ahead = 5, alpha = 0.05, ...)

Arguments

object	An object of class fHMM_model.
ahead	A positive integer, the forecast horizon.
alpha	A numeric between 0 and 1, the alpha level for the confidence interval. By default, alpha = 0.05, which computes a 95% confidence interval.
...	Ignored.

Value

A data.frame of state probabilities and data point estimates along with confidence intervals.

Examples

predict(dax_model_3t)

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