CRAN/E | fHMM

fHMM

Fitting Hidden Markov Models to Financial Data

Installation

About

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.

loelschlaeger.de/fHMM/
Bug report File report

Key Metrics

Version 1.3.0
R ≥ 4.0.0
Published 2024-04-30 2 days ago
Needs compilation? yes
License GPL-3
CRAN checks fHMM results
Language en-US

Downloads

Yesterday 33 0%
Last 7 days 200 -4%
Last 30 days 821 -3%
Last 90 days 2.156 +30%
Last 365 days 6.307 +47%

Maintainer

Maintainer

Lennart Oelschläger

oelschlaeger.lennart@gmail.com

Authors

Lennart Oelschläger

aut / cre

Timo Adam

aut

Rouven Michels

aut

Material

README
NEWS
Reference manual
Package source

In Views

Finance

Vignettes

Introduction
Model definition
Controls
Data management
Model estimation
State decoding and prediction
Model checking
Model selection

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

fHMM archive

Depends

R ≥ 4.0.0

Imports

checkmate
cli
foreach
graphics
grDevices
MASS
oeli ≥0.3.0
padr
pracma
progress
Rcpp
stats
utils

Suggests

covr
doSNOW
knitr
parallel
rmarkdown
testthat ≥3.0.0
tseries

LinkingTo

Rcpp
RcppArmadillo