ldhmm.simulate_abs_acf: Simulating auto-correlation (ACF)

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

Simulating auto-correlation (ACF)

Description

This utility simulates the auto-correlation. The first few lag of ACF should match the ACF from the market data fairly well. This is a major validation of a successful HMM. Be aware this is a CPU intensive calculation. It uses the multi-core functionality.

Usage

ldhmm.simulate_abs_acf(object, n = 10000, lag.max = 5, debug = FALSE)

Arguments

object	an ldhmm object that can supply m, param.nbr and stationary.
n	a positive integer specifying number of observations to simulate.
lag.max	a positive integer, specifying number of lags to be computed.
debug	logical, specifying to print progress message or not. Default is FALSE.

Value

a vector of ACF

Author(s)

Stephen H. Lihn

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