ldhmm.pseudo_residuals: Computing pseudo-residuals

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

Computing pseudo-residuals

Description

This utility computes pseudo-residuals. (Zucchini, 6.2)

Usage

ldhmm.pseudo_residuals(object, x, xc.length = 1000)

Arguments

object	an ldhmm object
x	numeric, the observations.
xc.length	a positive integer specifying the length of xc when calculating conditional probabilities, default is 1000.

Value

a vector of normal quantiles

Author(s)

Stephen H. Lihn

Examples

## Not run: 
  sr <- ldhmm.pseudo_residuals(object, x)
  hist(sr)
  acf(sr)
  qqnorm(sr, cex=0.5)
  L <- seq(-3,3,length.out=100)
  lines(L,L,col="red",lwd=2, lty=2)

## End(Not run)

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