gammasUncon2gammasCon

This function constrains non-diagonal elements <code>gammasUncon</code> of a
transition probability matrix.

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

gammasUncon2gammasCon function

<dl><dt>gammasUncon</dt>
<dd>A vector of un-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 constrains non-diagonal elements gammasUncon of a
transition probability matrix. — gammasUncon2gammasCon

<dl>

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


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

</dl>

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gammasUncon2gammasCon: This function constrains non-diagonal elements `gammasUncon` of a transition probability matrix.

Description

Usage

Value

Arguments