nLL_hmm

This function computes the negative log-likelihood of an HMM.

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

nLL_hmm function

<dl><dt>parUncon</dt>
<dd>[<code>parUncon</code>] 
An object of class <code>parUncon</code>.</dd>
<dt>observations</dt>
<dd>[<code><a href="/link/numeric()?package=fHMM&version=1.4.3" data-mini-rdoc="fHMM::numeric()">numeric()</a></code>] 
The vector of the simulated or empirical data used for estimation.</dd>
<dt>controls</dt>
<dd>[<code>fHMM_controls</code>] 
An object of class <code>fHMM_controls</code>.</dd></dl>

Arguments

Negative log-likelihood function of an HMM — nLL_hmm

<dl>

<dt>parUncon</dt>
<dd>[<code>parUncon</code>] 
An object of class <code>parUncon</code>.</dd>


<dt>observations</dt>
<dd>[<code><a href='https://rdrr.io/r/base/numeric.html'>numeric()</a></code>] 
The vector of the simulated or empirical data used for estimation.</dd>


<dt>controls</dt>
<dd>[<code>fHMM_controls</code>] 
An object of class <code>fHMM_controls</code>.</dd>

</dl>

nLL_hmm: Negative log-likelihood function of an HMM

Description

Usage

Value

Arguments