fHMM

<p>This package provides tools for modeling financial data via
the (hierarchical) hidden Markov model.</p>

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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

Fitting Hidden Markov Models to Financial Data

fHMM: fHMM: Fitting Hidden Markov Models to Financial Data

Description

Arguments