Fitting Hidden Markov Models to Financial Data

Fitting (hierarchical) hidden Markov models to daily share prices provided by <>. See <> for documentation and examples.


Reference manual

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0.2.0 by Lennart Oelschl├Ąger, 2 months ago

Browse source code at

Authors: Lennart Oelschl├Ąger [aut, cre] , Timo Adam [aut]

Documentation:   PDF Manual  

GPL-3 license

Imports MASS, progress, Rcpp, tseries

Linking to Rcpp, RcppArmadillo

See at CRAN