ldhmm: Constructor of ldhmm class

In ldhmm: Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

Description

Construct an ldhmm class by providing the required parameters.

Usage

ldhmm(m, param, gamma, delta = NULL, stationary = TRUE,
  mle.optimizer = "nlm")

Arguments

m	numeric, number of states
param	matrix, the ecld parameters of states.
gamma	numeric or matrix, the transition probability matrix, must be conformed to m by m. if provided as vector, it will be converted to a matrix with byrow=TRUE.
delta	numeric, the initial distribution for each state, default is NULL.
stationary	logical, specify whether the initial distribution is stationary or not, default is TRUE.
mle.optimizer	character, specify alternative optimizer, default is nlm.

Value

An object of ldhmm class

Author(s)

Stephen H. Lihn

Examples

param0 <- matrix(c(0.003, 0.02, 1, -0.006, 0.03, 1.3), 2, 3, byrow=TRUE)
gamma0 <- matrix(c(0.9, 0.1, 0.1, 0.9), 2, 2, byrow=TRUE)
d <- ldhmm(m=2, param=param0, gamma=gamma0)

ldhmm documentation built on Jan. 11, 2020, 9:16 a.m.