fHMM

fHMM-package

<img src="figures/logo.png?package=fHMM&version=1.1.1" style="float: right" alt="logo" width="120">
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) tools:::Rd_expr_doi("10.1177/1471082X211034048") for a reference.

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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

Timo Adam

Rouven Michels

fHMM-package function

Maintainer: Lennart Oelschläger <a href="/link/oelschlaeger.lennart%40gmail.com?package=fHMM&version=1.1.1" data-mini-rdoc="fHMM::oelschlaeger.lennart@gmail.com">oelschlaeger.lennart@gmail.com</a> (<a href="https://orcid.org/0000-0001-5421-9313">ORCID</a>)
Authors:<ul>
<li>Timo Adam <a href="/link/ta59%40st-andrews.ac.uk?package=fHMM&version=1.1.1" data-mini-rdoc="fHMM::ta59@st-andrews.ac.uk">ta59@st-andrews.ac.uk</a> (<a href="https://orcid.org/0000-0001-9079-3259">ORCID</a>)</li>
<li>Rouven Michels <a href="/link/r.michels%40uni-bielefeld.de?package=fHMM&version=1.1.1" data-mini-rdoc="fHMM::r.michels@uni-bielefeld.de">r.michels@uni-bielefeld.de</a> (<a href="https://orcid.org/0000-0002-5433-6197">ORCID</a>)</li>
</ul>

Author

<img src='figures/logo.png' style='float: right' alt='logo' width='120' />
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) tools:::Rd_expr_doi("10.1177/1471082X211034048") for a reference.

fHMM: Fitting Hidden Markov Models to Financial Data — fHMM-package

Maintainer: Lennart Oelschläger <a href='mailto:oelschlaeger.lennart@gmail.com'>oelschlaeger.lennart@gmail.com</a> (<a href='https://orcid.org/0000-0001-5421-9313'>ORCID</a>)
Authors:<ul>
<li>Timo Adam <a href='mailto:ta59@st-andrews.ac.uk'>ta59@st-andrews.ac.uk</a> (<a href='https://orcid.org/0000-0001-9079-3259'>ORCID</a>)</li>
<li>Rouven Michels <a href='mailto:r.michels@uni-bielefeld.de'>r.michels@uni-bielefeld.de</a> (<a href='https://orcid.org/0000-0002-5433-6197'>ORCID</a>)</li>
</ul>

fHMM-package: fHMM: Fitting Hidden Markov Models to Financial Data

Description

Arguments

Author

See Also