fHMM (Q75849)
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Fitting Hidden Markov Models to Financial Data
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | fHMM |
Fitting Hidden Markov Models to Financial Data |
Statements
24 February 2024
0 references
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.
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