ldhmm.simulate_state_transition: Simulating state transition

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

Simulating state transition

Description

This utility allows to simulate the states and obervations over time. Be aware this is a CPU intensive calculation. It uses the multi-core functionality.

Usage

ldhmm.simulate_state_transition(object, init = NULL)

Arguments

object	an ldhmm object that can supply m, param.nbr and stationary.
init	a positive integer specifying number of observations to simulate initially. The default is NULL, indicating that the simulation should use the (local) states and observations from within the object, and simulate the next set of random states and observations according to gamma. When init is an integer, the utility will generate random states and observations according to delta.

Value

an ldhmm object containing the simulated states and observations. The observations are stored in the observations slot. The states are stored in the states.local slot.

Author(s)

Stephen H. Lihn

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