predict.fHMM_model

This function predicts the next <code>ahead</code> states and data points based on
an <code>fHMM_model</code> object.

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

predict.fHMM_model function

<dl><dt>object</dt>
<dd>An object of class <code>fHMM_model</code>.</dd>
<dt>ahead</dt>
<dd>A positive <code>integer</code>, the forecast horizon.</dd>
<dt>alpha</dt>
<dd>A <code>numeric</code> between 0 and 1, the alpha level for the confidence interval.
By default, <code>alpha = 0.05</code>, which computes a 95% confidence interval.</dd>
<dt>...</dt>
<dd>Ignored.</dd></dl>

Arguments

Prediction — predict.fHMM_model

<dl>

<dt>object</dt>
<dd>An object of class <code>fHMM_model</code>.</dd>


<dt>ahead</dt>
<dd>A positive <code>integer</code>, the forecast horizon.</dd>


<dt>alpha</dt>
<dd>A <code>numeric</code> between 0 and 1, the alpha level for the confidence interval.
By default, <code>alpha = 0.05</code>, which computes a 95% confidence interval.</dd>


<dt>...</dt>
<dd>Ignored.</dd>

</dl>

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predict.fHMM_model: Prediction

Description

Usage

Value

Arguments

Examples