simulate_observations: Simulate state-dependent observations

In fHMM: Fitting Hidden Markov Models to Financial Data

Simulate state-dependent observations

Description

This function simulates state-dependent observations.

Usage

simulate_observations(
  markov_chain,
  sdd,
  mu,
  sigma = NULL,
  df = NULL,
  seed = NULL,
  total_length = length(markov_chain)
)

Arguments

markov_chain	A numeric vector of states of a Markov chain.
sdd	A character, the name of the state-dependent distribution.
mu	A numeric vector of expected values.
sigma	A numeric vector of standard deviations (if any).
df	A numeric vector of degrees of freedom (if any).
seed	Sets a seed for the observation sampling.
total_length	An integer, the total length of the output vector. Must be greater or equal than length(markov_chain).

Value

A numeric vector of length total_length, where the first length(markov_chain) elements are numeric values and the last total_length - length(markov_chain) elements are NA_real_.

fHMM documentation built on April 3, 2025, 5:49 p.m.