fHMM: Fitting Hidden Markov Models to Financial Data
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>.
| Version: | 1.4.1 |
| Depends: | R (≥ 4.0.0) |
| Imports: | checkmate, cli, curl, foreach, graphics, grDevices, httr, jsonlite, MASS, oeli (≥ 0.3.0), padr, pracma, progress, Rcpp, stats, utils |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | covr, doSNOW, knitr, parallel, rmarkdown, testthat (≥ 3.0.0), tseries |
| Published: | 2024-09-16 |
| DOI: | 10.32614/CRAN.package.fHMM |
| Author: | Lennart Oelschläger
 [aut, cre],
Timo Adam [aut],
Rouven Michels
[aut] |
| Maintainer: | Lennart Oelschläger <oelschlaeger.lennart at gmail.com> |
| BugReports: | https://github.com/loelschlaeger/fHMM/issues |
| License: | GPL-3 |
| URL: | https://loelschlaeger.de/fHMM/ |
| NeedsCompilation: | yes |
| Language: | en-US |
| Citation: | fHMM citation info |
| Materials: | README NEWS |
| In views: | Finance |
| CRAN checks: | fHMM results |
Documentation:
| Reference manual: | fHMM.pdf |
| Vignettes: |
Introduction (source, R code) Model definition (source, R code) Controls (source, R code) Data management (source, R code) Model estimation (source, R code) State decoding and prediction (source, R code) Model checking (source, R code) Model selection (source, R code) |
Downloads:
| Package source: | fHMM_1.4.1.tar.gz |
| Windows binaries: | r-devel: fHMM_1.4.1.zip, r-release: fHMM_1.4.1.zip, r-oldrel: fHMM_1.4.1.zip |
| macOS binaries: | r-release (arm64): fHMM_1.4.1.tgz, r-oldrel (arm64): fHMM_1.4.1.tgz, r-release (x86_64): fHMM_1.4.1.tgz, r-oldrel (x86_64): fHMM_1.4.1.tgz |
| Old sources: | fHMM archive |
Linking:
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