unemp_spx_model_3_2 {fHMM} | R Documentation |
Unemployment rate and S&P 500 hierarchical HMM
Description
A pre-computed HHMM with monthly unemployment rate in the US on the coarse scale using 3 states and S&P 500 index data on the fine scale using 2 states from 1970 to 2020 for demonstration purpose.
Usage
data("unemp_spx_model_3_2")
Format
An object of class fHMM_model
.
Details
The model was estimated via:
controls <- list( hierarchy = TRUE, states = c(3, 2), sdds = c("t", "t"), period = "m", data = list( file = list(unemp, spx), data_column = c("rate_diff", "Close"), date_column = c("date", "Date"), from = "1970-01-01", to = "2020-01-01", logreturns = c(FALSE, TRUE) ), fit = list(runs = 50, iterlim = 1000, gradtol = 1e-6, steptol = 1e-6) ) controls <- set_controls(controls) unemp_spx_data <- prepare_data(controls) unemp_spx_model_3_2 <- fit_model(unemp_spx_data, seed = 1, ncluster = 10) unemp_spx_model_3_2 <- decode_states(unemp_spx_model_3_2) unemp_spx_model_3_2 <- compute_residuals(unemp_spx_model_3_2) summary(unemp_spx_model_3_2) state_order <- matrix(c(3, 2, 1, 2, 2, 2, 1, 1, 1), 3, 3) unemp_spx_model_3_2 <- reorder_states(unemp_spx_model_3_2, state_order)
[Package fHMM version 1.4.1 Index]