compute_residuals

This function computes (pseudo-) residuals of an <code>fHMM_model</code>
object.

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>.

Lennart Oelschläger

fHMM

Fitting Hidden Markov Models to Financial Data

Timo Adam

Rouven Michels

compute_residuals function

<dl><dt>x</dt>
<dd>An object of class <code>fHMM_model</code>.</dd>
<dt>verbose</dt>
<dd>Set to <code>TRUE</code> (default) to print progress messages.</dd></dl>

Arguments

Compute (pseudo-) residuals — compute_residuals

<dl>

<dt>x</dt>
<dd>An object of class <code>fHMM_model</code>.</dd>


<dt>verbose</dt>
<dd>Set to <code>TRUE</code> (default) to print progress messages.</dd>

</dl>

compute_residuals: Compute (pseudo-) residuals

Description

Usage

Value

Arguments

Examples