fHMM: Hidden Markov Models for Financial Time Series in R
Hidden Markov models constitute a versatile class of statistical models for time series that are driven by hidden states. In financial applications, the hidden states can often be linked to market regimes such as bearish and bullish markets or recessions and periods of economics growth. To give an...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2024-06-01
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| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4736 |
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