Hi,
I have two questions regarding the hmm model from a user's perspective,
1. what is the difference between method decode and predict, they seems to
be having the same description
2. If i fit a financial time series into hmm, hmm seems to automatically
detect states based on mean and variance, so if I want it to detect states
related to regimes(up, down and neutral trends), I have to transform price
into binary time series, such as 1 indicates current minute is a rise
compare to previous minutes, -1 indicates current minute is a drop compare
to previous minutes, 0 is unchanged. But if I transform my price info into
binary information, I loss magnitude information. How can I keep the
magnitude information, yet still let the hmm detect up, down and neutral
trend, instead of mean and variance regimes.
--
王硕
邮箱：[email protected]
Whatever your journey, keep walking.
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