fHMM

fHMM-package

<img src="figures/logo.png?package=fHMM&version=1.4.2" style="float: right" alt="logo" width="120">
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) tools:::Rd_expr_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) tools:::Rd_expr_doi("10.18637/jss.v109.i09").

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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

Fitting Hidden Markov Models to Financial Data

Timo Adam

Rouven Michels

fHMM-package function

Maintainer: Lennart Oelschläger <a href="/link/oelschlaeger.lennart%40gmail.com?package=fHMM&version=1.4.2" data-mini-rdoc="fHMM::oelschlaeger.lennart@gmail.com">oelschlaeger.lennart@gmail.com</a> (<a href="https://orcid.org/0000-0001-5421-9313">ORCID</a>)
Authors:<ul>
<li>Timo Adam <a href="/link/ta59%40st-andrews.ac.uk?package=fHMM&version=1.4.2" data-mini-rdoc="fHMM::ta59@st-andrews.ac.uk">ta59@st-andrews.ac.uk</a> (<a href="https://orcid.org/0000-0001-9079-3259">ORCID</a>)</li>
<li>Rouven Michels <a href="/link/r.michels%40uni-bielefeld.de?package=fHMM&version=1.4.2" data-mini-rdoc="fHMM::r.michels@uni-bielefeld.de">r.michels@uni-bielefeld.de</a> (<a href="https://orcid.org/0000-0002-5433-6197">ORCID</a>)</li>
</ul>

Author

<img src='figures/logo.png' style='float: right' alt='logo' width='120' />
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) tools:::Rd_expr_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) tools:::Rd_expr_doi("10.18637/jss.v109.i09").

fHMM: Fitting Hidden Markov Models to Financial Data — fHMM-package

Maintainer: Lennart Oelschläger <a href='mailto:oelschlaeger.lennart@gmail.com'>oelschlaeger.lennart@gmail.com</a> (<a href='https://orcid.org/0000-0001-5421-9313'>ORCID</a>)
Authors:<ul>
<li>Timo Adam <a href='mailto:ta59@st-andrews.ac.uk'>ta59@st-andrews.ac.uk</a> (<a href='https://orcid.org/0000-0001-9079-3259'>ORCID</a>)</li>
<li>Rouven Michels <a href='mailto:r.michels@uni-bielefeld.de'>r.michels@uni-bielefeld.de</a> (<a href='https://orcid.org/0000-0002-5433-6197'>ORCID</a>)</li>
</ul>

fHMM-package: fHMM: Fitting Hidden Markov Models to Financial Data

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