fHMM_data function

Constructor of an fHMM_data object

This function constructs an object of class fHMM_data, which contains the financial data for modeling.

fHMM_data(
  dates,
  time_points,
  markov_chain,
  data,
  time_series,
  T_star,
  controls,
  true_parameters
)

## S3 method for class 'fHMM_data'
print(x, ...)

## S3 method for class 'fHMM_data'
summary(object, ...)

Arguments

• dates: The dates in the empirical case.
• time_points: The time points in the simulated case.
• markov_chain: The states in the simulated case.
• data: The data for modeling.
• time_series: The data before transformation.
• T_star: The fine-scale chunk sizes.
• controls: The fHMM_controls object.
• true_parameters: The fHMM_parameters object in the simulated case.
• x: An object of class fHMM_data.
• ...: Currently not used.
• object: An object of class fHMM_data.

Returns

An object of class fHMM_data, which is a list containing the following elements:

• The matrix of the dates if simulated = FALSE and controls$data$data_column is specified,

• the matrix of the time_points if simulated = TRUE

  or controls$data$data_column is not specified,

• the matrix of the simulated markov_chain if simulated = TRUE,

• the matrix of the simulated or empirical data used for estimation,

• the matrix time_series of empirical data before the transformation to log-returns if simulated = FALSE,

• the vector of fine-scale chunk sizes T_star if controls$hierarchy = TRUE,

• the input controls,

• the true_parameters.