Fitting Hidden Markov Models to Financial Data


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Documentation for package ‘fHMM’ version 1.0.0

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check_date Check date format "YYYY-MM-DD"
coef.fHMM_model Model coefficients
compare_models Comparing multiple 'fHMM_model'-objects
compute_residuals Computing (pseudo-) residuals
dax_model_2n DAX 2-state HMM
dax_model_3t DAX 3-state HMM
dax_vw_model DAX/VW hierarchical HMM
decode_states Decoding the underlying hidden state sequence
download_data Downloading financial data
fHMM_colors Setting color scheme for visualizations
fHMM_events Checking events
fHMM_parameters Setting and checking model parameters
fit_model Model fitting
is_number Check for integers
is_tpm Check for tpm
match_all Best-possible match of two numeric vectors
plot.fHMM_data Plot method for an object of class 'fHMM_data'
plot.fHMM_model Plot method for an object of class 'fHMM_model'
predict.fHMM_model Prediction
prepare_data Prepare data
reorder_states Reordering of estimated states
sample_tpm Sample transition probability matrices
set_controls Set and check controls
simulate_markov_chain Simulate a Markov chain