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 on the method. A user guide is provided by the accompanying software paper "fHMM: Hidden Markov Models for Financial Time Series in R", Oelschläger, L., Adam, T., and Michels, R. (2024, Journal of Statistical Software) doi:10.18637/jss.v109.i09.
| Citation | fHMM citation info |
| loelschlaeger.de/fHMM/ | |
| Bug report | File report |
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Maintainer
| Maintainer | Lennart Oelschläger |