sim_model_2gamma: Simulated 2-state HMM with gamma distributions

In fHMM: Fitting Hidden Markov Models to Financial Data

Simulated 2-state HMM with gamma distributions

Description

A pre-computed 2-state HMM with state-dependent gamma distributions with means fixed to 0.5 and 2 on 500 simulated observations.

Usage

data("sim_model_2gamma")

Format

An object of class fHMM_model.

Details

The model was estimated via:

controls <- list(
  states  = 2,
  sdds    = "gamma(mu = 1|2)",
  horizon = 200,
  fit     = list(runs = 50)
)
controls <- set_controls(controls)
pars <- fHMM_parameters(
  controls = controls, Gamma = matrix(c(0.9, 0.2, 0.1, 0.8), nrow = 2),
  sigmas = c(0.5, 1)
)
data_sim <- prepare_data(controls, true_parameters = pars, seed = 1)
sim_model_2gamma <- fit_model(data_sim, seed = 1)

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