read_data function

Read data

This helper function reads financial data for the {fHMM} package.

read_data(controls)

Arguments

• controls: An object of class fHMM_controls.

Returns

A list containing the following elements:

• the matrix of the dates if controls$simulated = FALSE

  and controls$data$data_column is specified,

• the matrix of the time_points if controls$simulated = TRUE

  or controls$data$data_column is not specified,

• the matrix of the empirical data used for estimation,

• the matrix named time_series of empirical data before the transformation to log-returns,

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