Constructor of an fHMM_data object — fHMM

This function constructs an object of class fHMM_data, which contains the financial data for modeling.

Usage

fHMM_data(
  dates,
  time_points,
  markov_chain,
  data,
  time_series,
  T_star,
  controls,
  true_parameters
)

# S3 method for class 'fHMM_data'
print(x, ...)

# S3 method for class 'fHMM_data'
summary(object, ...)

Arguments

dates: [any]
The dates in the empirical case.
time_points: [any]
The time points in the simulated case.
markov_chain: [any]
The states in the simulated case.
data: [any]
The data for modeling.
time_series: [any]
The data before transformation.
T_star: [NULL | integer()]
The fine-scale chunk sizes.
controls: [fHMM_controls]
The fHMM_controls object.
true_parameters: [NULL | fHMM_parameters]
The fHMM_parameters object in the simulated case.
x: [fHMM_data]
An object of class fHMM_data.
...: Currently not used.
object: [fHMM_data]
An object of class fHMM_data.

Value

An object of class fHMM_data, which is a list containing the following elements:

The matrix of the dates if simulated = FALSE and controls$data$data_column is specified,
the matrix of the time_points if simulated = TRUE or controls$data$data_column is not specified,
the matrix of the simulated markov_chain if simulated = TRUE,
the matrix of the simulated or empirical data used for estimation,
the matrix time_series of empirical data before the transformation to log-returns if simulated = FALSE,
the vector of fine-scale chunk sizes T_star if controls$hierarchy = TRUE,
the input controls,
the true_parameters.