Fitting Hidden Markov Models to Financial Data


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Documentation for package ‘fHMM’ version 0.2.0

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apply_viterbi Viterbi algorithm
check_controls Controls check
check_decoding Decoding check
check_estimation Estimation check
check_saving Saving check
compute_ci Confidence intervals
compute_fs Fine-scale chunk lengths
create_visuals Visualization
dfCon2dfUncon Unconstrains degrees of freedom.
dfUncon2dfCon Constrains degrees of freedom.
download_data Data download
exception Debugging
fit_hmm Fit (hierarchical) hidden Markov models to financial data
Gamma2delta Computes stationary distribution of transition probability matrix.
Gamma2gammasCon Constrains non-diagonal matrix elements of transition probability matrix.
Gamma2gammasUncon Unconstraines non-diagonal matrix elements of transition probability matrix.
gammasCon2Gamma Builds transition probability matrix from constrained non-diagonal elements.
gammasCon2gammasUncon Unconstrains non-diagonal elements of transition probability matrix.
gammasUncon2Gamma Builds transition probability matrix from unconstrained non-diagonal elements.
gammasUncon2gammasCon Constrains non-diagonal elements of transition probability matrix.
init_est Initialisation
max_likelihood Optimization
muCon2muUncon Unconstrains expected values.
muUncon2muCon Constrains expected values.
nLL_hhmm Negative log-likelihood of a HHMM
nLL_hmm Negative log-likelihood of a HMM
parameter_names Parameter names
plot_ll Visualization of log-likelihood values
plot_sdd Visualization of estimated state-dependent distributions
plot_ts Visualize decoded time-series
process_data Data processing
pseudo_residuals Pseudo-residuals
read_data Read .csv-file
sigmaCon2sigmaUncon Unconstrains standard deviations.
sigmaUncon2sigmaCon Constrains standard deviations.
simulate_data Data simulation
thetaCon2thetaList Brings contrained model parameters from vector form 'thetaCon' to list form 'ThetaList'.
thetaCon2thetaUncon Unconstrains model parameters.
thetaList2thetaCon Brings constrained model parameters from list form 'thetaList' to vector form 'thetaCon'.
thetaList2thetaListOrdered Orders states in 'thetaList' based on expected values.
thetaList2thetaUncon Brings constrained model parameters in list form to unconstrained parameters in vector form.
thetaUncon2thetaCon Constrains model parameters.
thetaUncon2thetaList Brings uncontrained model parameters 'thetaUncon' in list form 'thetaList'.
thetaUncon2thetaUnconSplit Splits uncontrained model parameters 'thetaUncon' by fine-scale HMMs.
thetaUnconSplit2thetaList Brings uncontrained fine-scale model parameters in constrained list form.