ldhmm.n2w: Transforming natural parameters to a linear working parameter...

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

Transforming natural parameters to a linear working parameter array

Description

This utility linearizes the natural parameters and transforms the contrained parameters to unconstrained parameters. (Zucchini, 3.3.1)

Usage

ldhmm.n2w(object, mu.scale = 1)

Arguments

object	an ldhmm object
mu.scale	numeric, if provided, e.g. mean(abs(x)), it is used to scale up mu so that the scale is more friendly to the optimizer. Default is 1.

Value

numeric, linear working parameter array

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)
v <- ldhmm.n2w(d)

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