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fHMM

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Version

Install

install.packages('fHMM')

Monthly Downloads

519

Version

0.3.0

License

GPL-3

Maintainer

Lennart Oelschläger

Last Published

March 24th, 2025

Functions in fHMM (0.3.0)

check_saving

Saving check
dfUncon2dfCon

Constrains degrees of freedom.
check_estimation

Estimation check
apply_viterbi

Viterbi algorithm
create_visuals

Visualization
compute_ci

Confidence intervals
Gamma2gammasUncon

Unconstraines non-diagonal matrix elements of transition probability matrix.
gammasCon2Gamma

Builds transition probability matrix from constrained non-diagonal elements.
Gamma2delta

Computes stationary distribution of transition probability matrix.
Gamma2gammasCon

Constrains non-diagonal matrix elements of transition probability matrix.
compute_fs

Fine-scale chunk lengths
check_decoding

Decoding check
check_controls

Check controls
nLL_hmm

Negative log-likelihood of a HMM
download_data

Data download
thetaList2thetaListOrdered

Orders states in thetaList based on expected values.
plot_ts

Visualize decoded time-series
plot_sdd

Visualization of estimated state-dependent distributions
muCon2muUncon

Unconstrains expected values.
init_est

Initialisation
thetaList2thetaCon

Brings constrained model parameters from list form thetaList to vector form thetaCon.
dfCon2dfUncon

Unconstrains degrees of freedom.
muUncon2muCon

Constrains expected values.
max_likelihood

Optimization
parameter_names

Parameter names
gammasCon2gammasUncon

Unconstrains non-diagonal elements of transition probability matrix.
thetaCon2thetaUncon

Unconstrains model parameters.
thetaCon2thetaList

Brings contrained model parameters from vector form thetaCon to list form ThetaList.
gammasUncon2Gamma

Builds transition probability matrix from unconstrained non-diagonal elements.
sigmaUncon2sigmaCon

Constrains standard deviations.
read_data

Read .csv-file
sigmaCon2sigmaUncon

Unconstrains standard deviations.
plot_ll

Visualization of log-likelihood values
nLL_hhmm

Negative log-likelihood of a HHMM
exception

Debugging
fit_hmm

Fit (hierarchical) hidden Markov models to financial data
gammasUncon2gammasCon

Constrains non-diagonal elements of transition probability matrix.
thetaUncon2thetaList

Brings uncontrained model parameters thetaUncon in list form thetaList.
thetaUncon2thetaUnconSplit

Splits uncontrained model parameters thetaUncon by fine-scale HMMs.
process_data

Data processing
simulate_data

Data simulation
thetaList2thetaUncon

Brings constrained model parameters in list form to unconstrained parameters in vector form.
thetaUncon2thetaCon

Constrains model parameters.
thetaUnconSplit2thetaList

Brings uncontrained fine-scale model parameters in constrained list form.
pseudo_residuals

Pseudo-residuals