read_data: Read data

In fHMM: Fitting Hidden Markov Models to Financial Data

Read data

Description

This helper function reads financial data for the {fHMM} package.

Usage

read_data(controls)

Arguments

controls

An object of class fHMM_controls.

Value

A list containing the following elements:

• the matrix of the dates if controls$simulated = FALSE and controls$data$data_column is specified,

• the matrix of the time_points if controls$simulated = TRUE or controls$data$data_column is not specified,

• the matrix of the empirical data used for estimation,

• the matrix named time_series of empirical data before the transformation to log-returns,

• the vector of fine-scale chunk sizes T_star if controls$hierarchy = TRUE.

fHMM documentation built on Sept. 11, 2024, 6:22 p.m.