compute_T_star

This helper function computes lengths of fine-scale chunks in the
hierarchical case.

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 on the method. A user guide
is provided by the accompanying software paper "fHMM: Hidden Markov Models
for Financial Time Series in R", Oelschläger, L., Adam, T., and Michels, R.
(2024, Journal of Statistical Software) <doi:10.18637/jss.v109.i09>.

Lennart Oelschläger

fHMM

Fitting Hidden Markov Models to Financial Data

Timo Adam

Rouven Michels

compute_T_star function

<dl><dt>horizon</dt>
<dd>The element <code>controls$horizon</code>, i.e., an integer vector of length 2,
where the second entry can be <code>NA_integer_</code>.</dd>
<dt>period</dt>
<dd>The element <code>controls$period</code>, i.e. one of <code>"w"</code>,
<code>"m"</code>, <code>"q"</code>, or <code>"y"</code>.</dd>
<dt>dates</dt>
<dd>A <code>character</code> vector of dates of empirical fine-scale data (if any).
By default, <code>dates = NULL</code>.</dd>
<dt>seed</dt>
<dd>Set a seed for the simulation of flexible chunk lengths.
By default, <code>seed = NULL</code> (i.e., no seed).</dd></dl>

Arguments

Compute lengths of fine-scale chunks — compute_T_star

<dl>

<dt>horizon</dt>
<dd>The element <code>controls$horizon</code>, i.e., an integer vector of length 2,
where the second entry can be <code>NA_integer_</code>.</dd>


<dt>period</dt>
<dd>The element <code>controls$period</code>, i.e. one of <code>"w"</code>,
<code>"m"</code>, <code>"q"</code>, or <code>"y"</code>.</dd>


<dt>dates</dt>
<dd>A <code>character</code> vector of dates of empirical fine-scale data (if any).
By default, <code>dates = NULL</code>.</dd>


<dt>seed</dt>
<dd>Set a seed for the simulation of flexible chunk lengths.
By default, <code>seed = NULL</code> (i.e., no seed).</dd>

</dl>

compute_T_star: Compute lengths of fine-scale chunks

Description

Usage

Value

Arguments