New answers tagged hidden-markov-model
To determine the optimal number of states in a HMM is indeed an intricate one. Please have a look at the following paper: The Number of Regimes Across Asset Returns: Identification and Economic Value by M. Gatumel and F. Ielpo (2011) From the abstract: A shared belief in the financial industry is that markets are driven by two types of regimes. Bull ...
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