fHMM
Fitting Hidden Markov Models to Financial Data
Description
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>.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (3 non-OK)
installed package size
installed size is 6.1Mb
sub-directories of 1Mb or more:
data 2.1Mb
doc 1.1Mb
libs 1.2Mb
installed package size
installed size is 6.0Mb
sub-directories of 1Mb or more:
data 2.1Mb
doc 1.1Mb
libs 1.2Mb
installed package size
installed size is 5.6Mb
sub-directories of 1Mb or more:
data 1.8Mb
doc 1.1Mb
libs 1.1Mb
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NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
installed package size
installed size is 6.1Mb
sub-directories of 1Mb or more:
data 2.1Mb
doc 1.1Mb
libs 1.2Mb
installed package size
installed size is 6.0Mb
sub-directories of 1Mb or more:
data 2.1Mb
doc 1.1Mb
libs 1.2Mb
installed package size
installed size is 5.6Mb
sub-directories of 1Mb or more:
data 1.8Mb
doc 1.1Mb
libs 1.1Mb