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>.

Version: 1.3.1
Depends: R (≥ 4.0.0)
Imports: checkmate, cli, foreach, graphics, grDevices, MASS, oeli (≥ 0.3.0), padr, pracma, progress, Rcpp, stats, utils
LinkingTo: Rcpp, RcppArmadillo
Suggests: covr, doSNOW, knitr, parallel, rmarkdown, testthat (≥ 3.0.0), tseries
Published: 2024-05-31
DOI: 10.32614/CRAN.package.fHMM
Author: Lennart Oelschläger ORCID iD [aut, cre], Timo Adam ORCID iD [aut], Rouven Michels ORCID iD [aut]
Maintainer: Lennart Oelschläger <oelschlaeger.lennart at gmail.com>
BugReports: https://github.com/loelschlaeger/fHMM/issues
License: GPL-3
URL: https://loelschlaeger.de/fHMM/
NeedsCompilation: yes
Language: en-US
Citation: fHMM citation info
Materials: README NEWS
In views: Finance
CRAN checks: fHMM results


Reference manual: fHMM.pdf
Vignettes: Introduction
Model definition
Data management
Model estimation
State decoding and prediction
Model checking
Model selection


Package source: fHMM_1.3.1.tar.gz
Windows binaries: r-devel: fHMM_1.3.1.zip, r-release: fHMM_1.3.1.zip, r-oldrel: fHMM_1.3.1.zip
macOS binaries: r-release (arm64): fHMM_1.3.1.tgz, r-oldrel (arm64): fHMM_1.3.1.tgz, r-release (x86_64): fHMM_1.3.1.tgz, r-oldrel (x86_64): fHMM_1.3.1.tgz
Old sources: fHMM archive


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