ldhmm

0.6.1

Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

0packages depend

2.5Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Stephen H-T. LihnFirst published 2017-04-136 releasesCRAN page ↗

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 extracted from HMM cleanly. Univariate symmetric lambda distribution is essentially a location-scale family of exponential power distribution. Such distribution is suitable for describing highly leptokurtic time series obtained from the financial market. It provides a theoretically solid foundation to explore such data where the normal distribution is not adequate. The HMM implementation follows closely the book: "Hidden Markov Models for Time Series", by Zucchini, MacDonald, Langrock (2016).

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("ldhmm")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# one-time r2u setup for Ubuntu (noble)

curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash

# then install

sudo apt install r-cran-ldhmm

Fast Ubuntu binaries via r2u (no compilation). Run the setup once per machine.

bspm (used by r2u) also needs make: sudo apt install make

sudo dnf copr enable iucar/cran

sudo dnf install R-CRAN-ldhmm

RPMs from the iucar/cran COPR, rebuilt from CRAN.

sudo zypper install R-ldhmm

RPMs auto-built from CRAN on openSUSE OBS.

Health

CRAN checks

13OK

Code health

Yes

Tests · ratio 0.08

not tracked

Coverage

100%

Documentation · exports

None

Vignettes

README

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-06-08
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Downloads

2.5K

CRAN downloads in the past year

Rank #16,912 · ~7/day · ~212/mo

Releases R versions

ldhmm

Daily download trend is not available in this view yet.

Compare downloads with other packages →

34030 days

67890 days

2.5K1 year

Also on97 r2u14 autocran

Source & community

Repository stars, issues, and contributor activity are not tracked yet.

Dependencies

Declared dependencies

14 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.2.0

Imports (14)

stats baseutils basegnorm optimx xts zoo moments parallel basegraphics basescales ggplot2 grid baseyaml methods base

LinkingTo (0)

none

Suggests (6)

knitr testthat depmixS4 roxygen2 R.rsp shape

Enhances (0)

none

Reverse dependencies

0direct

–indirect (not tracked)

Nothing depends on this yet.

Code

3,740Lines of code

44Exported functions

Code & tests

Open call graph →

Line coverage

–

Expression

–

Tests / Examples

–

Functions

48 44 exported

Complexity

4.6 avg / 20 max

Call network

48 nodes / 56 edges

Test coverage has not been measured for this package yet; nodes fall back to a neutral fill.

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Lowest coverage

Per-function coverage is not measured for this package yet.

People & History

People (1)

Maintainer (1)

Stephen H-T. Lihn

Author, Maintainer

Release timeline

6 releases. Pick two to compare their code metrics; R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
0.6.1Latest
2023-12-11 · current release
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
0.5.1
2019-12-05 · diff ↗
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
0.4.5
2018-02-28 · diff ↗
0.4.2
2017-08-05 · diff ↗
0.4.1
2017-06-03 · diff ↗
R
R 3.4.0 released · 2017-04-21
0.1.0
2017-04-13

Package metadata

First published: 2017-04-13
Total releases: 6 / 9 yrs
License: Artistic-2.0 OSI
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet