NEWS.md

In loelschlaeger/fHMM: Fitting Hidden Markov Models to Financial Data

fHMM 1.4.2

• Let download_data() fail gracefully with an informative message if the Yahoo Finance resource is not available or has changed.

• Restored test coverage via codecov.io.

• Fixed invalid URLs.

fHMM 1.4.1

• Removed stale import of oeli::check_date().

• Updated download_data() to confirm with new Yahoo Finance API.

fHMM 1.4.0

• Fixed a bug around the period control (#93, thanks to @dongsen86).

• Fixed date conversion to character() (thanks to Hee-Young Kim).

fHMM 1.3.1

• Added citation to JSS paper in DESCRIPTION.

fHMM 1.3.0

• Improved initialization of the numerical likelihood optimization.

• Now the states after model estimation are automatically ordered according to the estimated mean of the state-dependent distributions, see reorder_states() with the new (default) option state_order = "mean".

• Re-fitted the example models contained in the package.

fHMM 1.2.2

• Added examples to fit_model().

• Small code improvements in file ll.cpp.

fHMM 1.2.1

• Small bug fix when computing the stationary distribution.

fHMM 1.2.0

• Controls can now be provided separately for the set_controls() function.

• The arguments in fHMM_parameters() for model parameters were slightly renamed as follows:

• mus -> mu

• sigmas -> sigma

• dfs -> df

• Gammas_star -> Gamma_star

• mus_star -> mu_star

• sigmas_star -> sigma_star

• dfs_star -> df_star

• The log-normal state-dependent distribution is renamed: lnorm -> lognormal.

• Two more state-dependent distributions were added: normal and poisson.

• The Viterbi algorithm can be directly accessed via viterbi().

• Renamed simulate_data() -> simulate_hmm() to make the functionality clearer. Furthermore, this function is now exported and can be used outside of the package to simulate HMM data.

• download_data() no longer saves a .csv-file but returns the data as a data.frame. Its verbose argument is removed because the function no longer prints any messages.

• The utilities (i.e., all functions with roxygen tag @keywords utils) were moved to the {oeli} package.

fHMM 1.1.1

• Fixed documenting the new special sentinel "_PACKAGE" for the package help file, see https://github.com/r-lib/roxygen2/issues/1491.

fHMM 1.1.0

• Extended the time horizon of saved data and updated models for demonstration.

• The download_data() function now returns the data as a data.frame by default. However, specifying argument file still allows for saving the data as a .csv file.

• The plot.fHMM_model() function now has the additional argument ll_relative (default is TRUE) to plot the relative log-likelihood values when plot_type = "ll".

• Significantly increased the test coverage and fixed minor bugs.

• Changed color of time series plot from "lightgray" to "black" for better readability.

• Added a title to the time series plot when calling plot.fHMM_model(plot_type = "ts"). Additionally, a time interval with arguments from and to can be selected to zoom into the data.

fHMM 1.0.3

• Added the following methods for an fHMM_model object: AIC(), BIC(), logLik(), nobs(), npar(), residuals().

• The log-normal distribution can now be estimated by setting sdds = "lnorm" in the controls object.

fHMM 1.0.2

• Fixed bug in reorder_states() that did not order the fine-scale parameter sets when the coarse-scale order was changed.

• Fixed bug in parameter_labels() that returned the wrong order of parameter labels.

• Changed plot type of simulated data to lines.

fHMM 1.0.1

• In the vignette on controls, in the section about example specifications for controls, corrected sdds = "gamma(mu = -1|1)" to sdds = "gamma(mu = 0.5|2)" because mean of the Gamma distribution must be positive.

• Added digits argument to print.fHMM_predict().

• Fixed bug in reorder_states() that allowed for misspecification of state_order.

• Added option to fit_model() to initialize at the estimates of another model (#73).

fHMM 1.0.0

• Enhanced the package by S3 classes.

• Added more controls specifications.

• Included a prediction function.

• Improved documentations.

fHMM 0.3.0

• Added vignettes.

• Improved specification of controls.

• Fixed minor bugs.

fHMM 0.2.0

• Improved documentation of functions and README.

• Improved specification of controls. (#37 and #38)

fHMM 0.1.0

• Initial version.

loelschlaeger/fHMM documentation built on June 15, 2025, 9:30 a.m.