Function reference • fHMM

Data preparation

Use these functions to prepare or simulate financial data.

set_controls(): Set and check controls

download_data(): Downloading financial data

prepare_data(): Prepare data

fHMM_parameters(): Setting and checking model parameters

plot(<fHMM_data>): Plot method for an object of class fHMM_data

Model estimation

Use these function for model estimation and state decoding.

fit_model(): Model fitting

decode_states(): Decoding the underlying hidden state sequence

reorder_states(): Reordering of estimated states

Model evaluation

Use these functions to evaluate a fitted model.

coef(<fHMM_model>): Model coefficients

npar(): Number of model parameters

compare_models(): Comparing multiple fHMM_model-objects

compute_residuals(): Computing (pseudo-) residuals

plot(<fHMM_model>): Plot method for an object of class fHMM_model

fHMM_colors(): Setting color scheme for visualizations

fHMM_events(): Checking events

predict(<fHMM_model>): Prediction

residuals(<fHMM_model>): Residuals

Models

The following pre-computed models are included in the package.

dax_model_2n: DAX 2-state HMM

dax_model_3t: DAX 3-state HMM

dax_vw_model: DAX/VW hierarchical HMM

sim_model_2gamma: Simulated 2-state HMM

Small utilities

These functions may be useful beyond {fHMM}.

check_date(): Check date format "YYYY-MM-DD"

is_number(): Check for integers

is_tpm(): Check for tpm

match_all(): Best-possible match of two numeric vectors

sample_tpm(): Sample transition probability matrices

simulate_markov_chain(): Simulate a Markov chain