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DESCRIPTION
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Package: fHMM
Type: Package
Title: Fitting Hidden Markov Models to Financial Data
Version: 1.4.1
Authors@R: c(
person(given = "Lennart",
family = "Oelschl\U00E4ger",
role = c("aut", "cre"),
email = "[email protected]",
comment = c(ORCID = "0000-0001-5421-9313")),
person(given = "Timo",
family = "Adam",
role = "aut",
email = "[email protected]",
comment = c(ORCID = "0000-0001-9079-3259")),
person(given = "Rouven",
family = "Michels",
role = "aut",
email = "[email protected]",
comment = c(ORCID = "0000-0002-5433-6197")))
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>.
Language: en-US
URL: https://loelschlaeger.de/fHMM/
BugReports: https://github.com/loelschlaeger/fHMM/issues
License: GPL-3
Encoding: UTF-8
Depends:
R (>= 4.0.0)
Imports:
checkmate,
cli,
curl,
foreach,
graphics,
grDevices,
httr,
jsonlite,
MASS,
oeli (>= 0.3.0),
padr,
pracma,
progress,
Rcpp,
stats,
utils
LinkingTo:
Rcpp,
RcppArmadillo
Suggests:
covr,
doSNOW,
knitr,
parallel,
rmarkdown,
testthat (>= 3.0.0),
tseries
Roxygen: list(markdown = TRUE)
RoxygenNote: 7.3.1
VignetteBuilder: knitr
Config/testthat/edition: 3
LazyData: true
LazyDataCompression: xz