regime_gaussian: 3 tools.
Inputs, limits and outputs are described in Fincept Regimes. Full schemas:
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Hidden Markov models with Gaussian, Gaussian-mixture or variational Gaussian emissions on returns or feature tables: regimes labelled by volatility or mean, transition matrix, per-regime means and volatilities, state path and probabilities, AIC/BIC, convergence, forecast and the fitted model.
regime_gaussian: 3 tools.
| Tool | What it does | Notes |
|---|---|---|
regime_gaussian_hmm | Gaussian hidden Markov model (Baum-Welch) on a returns series or feature table, one or several sequences. | |
regime_gmm_hmm | Hidden Markov model whose regimes each emit from a mixture of n_mix Gaussians (fat-tailed, skewed or multi-modal returns within a regime). | |
regime_variational_gaussian_hmm | Variational Bayesian Gaussian hidden Markov model: Dirichlet, Normal and Wishart priors, fitted by maximising the variational lower bound. |
fincept_describe_tool.