A pre-computed HHMM with monthly unemployment rate in the US on the coarse scale using 3 states and S&P 500 index data on the fine scale using 2 states from 1970 to 2020 for demonstration purpose.
Usage
data("unemp_spx_model_3_2")Format
An object of class fHMM_model.
Details
The model was estimated via:
controls <- list(
hierarchy = TRUE, states = c(3, 2),
sdds = c("t", "t"), period = "m",
data = list(
file = list(unemp, spx),
data_column = c("rate_diff", "Close"),
date_column = c("date", "Date"),
from = "1970-01-01", to = "2020-01-01",
logreturns = c(FALSE, TRUE)
),
fit = list(runs = 50, iterlim = 1000, gradtol = 1e-6, steptol = 1e-6)
)
controls <- set_controls(controls)
unemp_spx_data <- prepare_data(controls)
unemp_spx_model_3_2 <- fit_model(unemp_spx_data, seed = 1, ncluster = 10)
unemp_spx_model_3_2 <- decode_states(unemp_spx_model_3_2)
unemp_spx_model_3_2 <- compute_residuals(unemp_spx_model_3_2)
summary(unemp_spx_model_3_2)
state_order <- matrix(c(3, 2, 1, 2, 2, 2, 1, 1, 1), 3, 3)
unemp_spx_model_3_2 <- reorder_states(unemp_spx_model_3_2, state_order)