Gamma2gammasUncon

This function un-constrains the non-diagonal matrix elements 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

Gamma2gammasUncon function

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

Arguments

This function un-constrains the non-diagonal matrix elements of a transition
probability matrix Gamma. — Gamma2gammasUncon

<dl>

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

</dl>

Gamma2gammasUncon: This function un-constrains the non-diagonal matrix elements of a transition probability matrix `Gamma`.

Description

Usage

Value

Arguments