ldhmm.ld_stats {ldhmm}

Computes the theoretical statistics per state

Description

This utility computes the statistics (mean, sd, kurtosis) based on the lambda distribution. This is used to compare to the statistics from observations for each state. alloc is a short-hand for Merton's optimal allocation, mean/sd^2.

Usage

ldhmm.ld_stats(object, annualize = FALSE, days.pa = 252)

Arguments

object

an ldhmm object

annualize

logical, to annaulize the sd and mean to V (xsqrt(days.pa)x100) and R (xdays.pa). Default is FALSE.

days.pa

a positive integer, specifying number of days per year, default is 252.

Value

a matrix of statistics for each state, size of states times 4

Author(s)

Stephen H. Lihn