fHMM
Fitting Hidden Markov Models to Financial Data
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.
- Version1.4.1
- R version≥ 4.0.0
- LicenseGPL-3
- Needs compilation?Yes
- Languageen-US
- fHMM citation info
- Last release09/16/2024
Documentation
Team
Lennart Oelschläger
MaintainerShow author detailsTimo Adam
Show author detailsRolesAuthorRouven Michels
Insights
Last 30 days
This package has been downloaded 539 times in the last 30 days. More downloads than an obscure whitepaper, but not enough to bring down any servers. A solid effort! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 8 times.
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Last 365 days
This package has been downloaded 8,644 times in the last 365 days. Impressive! The kind of number that makes colleagues ask, 'How did you do it?' The day with the most downloads was Aug 22, 2024 with 86 downloads.
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Data provided by CRAN
Binaries
Dependencies
- Imports12 packages
- Suggests6 packages
- Linking To2 packages