sample_tpm

This function returns a random, squared matrix of dimension <code>dim</code>
that fulfills the properties of a transition probability matrix.

internal

utils

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

sample_tpm function

<dl><dt>dim</dt>
<dd>An <code>integer</code>, the matrix dimension.</dd></dl>

Arguments

Sample transition probability matrices — sample_tpm

<dl>

<dt>dim</dt>
<dd>An <code>integer</code>, the matrix dimension.</dd>

</dl>

sample_tpm: Sample transition probability matrices

Description

Usage

Value

Arguments

Examples