Gamma2delta

This function computes the stationary distribution of a transition
probability matrix <code>Gamma</code>.

internal

Fitting (hierarchical) hidden Markov models to financial data
via maximum likelihood estimation. See Oelschläger, L. and Adam, T.
"Detecting bearish and bullish markets in financial time series using
hierarchical hidden Markov models" (2021, Statistical Modelling)
<doi:10.1177/1471082X211034048> for a reference.

Lennart Oelschläger

fHMM

Fitting Hidden Markov Models to Financial Data

Timo Adam

Rouven Michels

Gamma2delta function

<dl><dt>Gamma</dt>
<dd>A transition probability <code>matrix</code>.</dd></dl>

Arguments

This function computes the stationary distribution of a transition
probability matrix Gamma. — Gamma2delta

<dl>

<dt>Gamma</dt>
<dd>A transition probability <code>matrix</code>.</dd>

</dl>

Gamma2delta: This function computes the stationary distribution of a transition probability matrix `Gamma`.

Description

Usage

Value

Arguments

Details