ldhmm-package |
ldhmm: A package for HMM using lambda distribution. |
ecld |
Constructor of ecld class |
ecld-class |
An S4 class to represent the lambda distribution |
ecld.ccdf |
CDF and CCDF of ecld |
ecld.cdf |
CDF and CCDF of ecld |
ecld.kurt |
Compute statistics analytically for an ecld object |
ecld.kurtosis |
Compute statistics analytically for an ecld object |
ecld.mean |
Compute statistics analytically for an ecld object |
ecld.pdf |
Calculate the PDF of an ecld object |
ecld.sd |
Compute statistics analytically for an ecld object |
ecld.skewness |
Compute statistics analytically for an ecld object |
ecld.var |
Compute statistics analytically for an ecld object |
ldhmm |
Constructor of ldhmm class |
ldhmm-class |
The ldhmm class |
ldhmm.calc_stats_from_obs |
Computing the statistics for each state |
ldhmm.conditional_prob |
Computing the conditional probabilities |
ldhmm.decode_stats_history |
Estimating historical statistics (mean, volatility and kurtosis) |
ldhmm.decoding |
Computing the minus log-likelihood (MLLK) |
ldhmm.df2ts |
Utility to standardize timeseries from data.frame to xts |
ldhmm.drop_outliers |
Computing the statistics for each state |
ldhmm.forecast_prob |
Computing the forecast probability distribution |
ldhmm.forecast_state |
Computing the state forecast |
ldhmm.forecast_volatility |
Computing the volatility forecast for next one period |
ldhmm.fred_data |
Utility to download time series from FRED |
ldhmm.gamma_init |
Initializing tansition probability paramter |
ldhmm.get_data |
Read sample data |
ldhmm.get_data.arr |
Read sample data |
ldhmm.get_data.ts |
Read sample data |
ldhmm.ld_stats |
Computes the theoretical statistics per state |
ldhmm.log_backward |
Computing the log forward and backward probabilities |
ldhmm.log_forward |
Computing the log forward and backward probabilities |
ldhmm.mle |
Computing the MLEs |
ldhmm.mllk |
Computing the minus log-likelihood (MLLK) |
ldhmm.n2w |
Transforming natural parameters to a linear working parameter array |
ldhmm.plot_spx_vix_obs |
Plotting HMM expected volatility for SPX overlaid with adjusted VIX |
ldhmm.pseudo_residuals |
Computing pseudo-residuals |
ldhmm.read_csv_by_symbol |
Read csv file of sample data |
ldhmm.read_sample_object |
Read sample ldhmm object |
ldhmm.simulate_abs_acf |
Simulating auto-correlation (ACF) |
ldhmm.simulate_state_transition |
Simulating state transition |
ldhmm.sma |
Simple moving average of a time series |
ldhmm.state_ld |
Constructing the ecld objects per state |
ldhmm.state_pdf |
Computing the PDF per state given the observations |
ldhmm.ts_abs_acf |
Computing ACF of the absolute value of a time series |
ldhmm.ts_log_rtn |
Get log-returns from historic prices of an index |
ldhmm.viterbi |
Computing the global decoding by the Viterbi algorithm |
ldhmm.w2n |
Transforming working parameter array to natural parameters |
numericOrNull-class |
The numericOrNull class |