sim_model_4lnorm: Simulated 4-state HMM with log-normal distributions

In fHMM: Fitting Hidden Markov Models to Financial Data

Simulated 4-state HMM with log-normal distributions

Description

A pre-computed 4-state HMM with state-dependent log-normal distributions on 1000 simulated observations.

Usage

data("sim_model_4lnorm")

Format

An object of class fHMM_model.

Details

The model was estimated via:

controls <- list(
  states  = 4,
  sdds    = "lnorm",
  horizon = 1000,
  fit     = list(runs = 50)
)
controls <- set_controls(controls)
data_sim <- prepare_data(controls, seed = 1)
sim_model_4lnorm <- fit_model(data_sim, seed = 1)

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