ldhmm.ld_stats: Computes the theoretical statistics per state

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

Computes the theoretical statistics per state

Description

This utility computes the statistics (mean, sd, kurtosis) based on the lambda distribution. This is used to compare to the statistics from observations for each state. alloc is a short-hand for Merton's optimal allocation, mean/sd^2.

Usage

ldhmm.ld_stats(object, annualize = FALSE, days.pa = 252)

Arguments

object	an ldhmm object
annualize	logical, to annaulize the sd and mean to V (xsqrt(days.pa)x100) and R (xdays.pa). Default is FALSE.
days.pa	a positive integer, specifying number of days per year, default is 252.

Value

a matrix of statistics for each state, size of states times 4

Author(s)

Stephen H. Lihn

ldhmm documentation built on May 29, 2024, 7:05 a.m.