simulate_observations

This function simulates state-dependent observations.

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

simulate_observations function

<dl><dt>markov_chain</dt>
<dd>A <code>numeric</code> vector of states of a Markov chain.</dd>
<dt>sdd</dt>
<dd>A <code>character</code>, the name of the state-dependent distribution, one of
<code>"t"</code>, <code>"gamma"</code>, and <code>"lnorm"</code>.</dd>
<dt>mus</dt>
<dd>A <code>numeric</code> vector of expected values.</dd>
<dt>sigmas</dt>
<dd>A <code>numeric</code> vector of standard deviations.</dd>
<dt>dfs</dt>
<dd>A <code>numeric</code> vector of degrees of freedom.
Only relevant if <code>sdd = "t"</code>.</dd>
<dt>seed</dt>
<dd>Set a seed.</dd>
<dt>total_length</dt>
<dd>An <code>integer</code>, the total length of the output vector.
Must be greater or equal than <code>length(markov_chain)</code>.</dd></dl>

Arguments

Simulate state-dependent observations — simulate_observations

<dl>

<dt>markov_chain</dt>
<dd>A <code>numeric</code> vector of states of a Markov chain.</dd>


<dt>sdd</dt>
<dd>A <code>character</code>, the name of the state-dependent distribution, one of
<code>"t"</code>, <code>"gamma"</code>, and <code>"lnorm"</code>.</dd>


<dt>mus</dt>
<dd>A <code>numeric</code> vector of expected values.</dd>


<dt>sigmas</dt>
<dd>A <code>numeric</code> vector of standard deviations.</dd>


<dt>dfs</dt>
<dd>A <code>numeric</code> vector of degrees of freedom.
Only relevant if <code>sdd = "t"</code>.</dd>


<dt>seed</dt>
<dd>Set a seed.</dd>


<dt>total_length</dt>
<dd>An <code>integer</code>, the total length of the output vector.
Must be greater or equal than <code>length(markov_chain)</code>.</dd>

</dl>

simulate_observations: Simulate state-dependent observations

Description

Usage

Value

Arguments