ldhmm

cranv0.6.1

Hidden Markov Model for Financial Time-Series Based on Lambda Distribution. Hidden Markov Model (HMM) based on symmetric lambda distribution framework is implemented for the study of return time-series in the financial market. Major features in the S&P500 index, such as regime identification, volatility clustering, and anti-correlation between return and volatility, can be

License Artistic-2.00 versions1 maintainers14 deps56 weekly dl
https://CRAN.R-project.org/package=ldhmm
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statsutilsgnormoptimxxtszoomomentsparallelgraphicsscalesggplot2gridyamlmethods
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First published · 2023-12-11 06:39:27

Last updated · 2023-12-11T04:10:02+00:00