gammasCon2Gamma

This function builds a transition probability matrix of dimension <code>dim</code>
from constrained non-diagonal elements <code>gammasCon</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

gammasCon2Gamma function

<dl><dt>gammasCon</dt>
<dd>A vector of constrained non-diagonal elements of a transition probability
matrix.</dd>
<dt>dim</dt>
<dd>The dimension of the transition probability matrix.</dd></dl>

Arguments

This function builds a transition probability matrix of dimension dim
from constrained non-diagonal elements gammasCon. — gammasCon2Gamma

<dl>

<dt>gammasCon</dt>
<dd>A vector of constrained non-diagonal elements of a transition probability
matrix.</dd>


<dt>dim</dt>
<dd>The dimension of the transition probability matrix.</dd>

</dl>

gammasCon2Gamma: This function builds a transition probability matrix of dimension `dim` from constrained non-diagonal elements `gammasCon`.

Description

Usage

Value

Arguments