Description Usage Arguments Value Author(s)

View source: R/ldhmm-decode_stats_history.R

This utility estimates historical statistics (mean, volatility and kurtosis) according to the state probabilities.
The ldhmm object must have been decoded by running through `ldhmm.decoding`

function.
Note that kurtosis is naively implemented as the linear sum from each state weighted by state probabilities.
It is subject to change to more rigorous formula in future releases.

1 2 | ```
ldhmm.decode_stats_history(object, ma.order = 0, annualize = FALSE,
days.pa = 252)
``` |

`object` |
a decoded ldhmm object |

`ma.order` |
a positive integer or zero, specifying order of moving average. Default is zero. |

`annualize` |
logical, to annaulize the sd and mean to V (xsqrt(days.pa)x100) and R (xdays.pa).
Default is |

`days.pa` |
a positive integer, specifying number of days per year, default is 252. |

an matrix of statistics history, size of observations times size of 3

Stephen H. Lihn

ldhmm documentation built on March 18, 2018, 1:51 p.m.

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