loelschlaeger / fHMM

Hidden Markov models for finance
https://loelschlaeger.de/fHMM/
GNU General Public License v3.0
16 stars 8 forks source link

Moving beyond daily data #95

Open loelschlaeger opened 2 months ago

loelschlaeger commented 2 months ago

Request:

Hi Lennart,

Thank you for the previous responses. I have an additional question about the package. I checked the paper, documentation, and help function on R, but I could not find enough information about the coursing the data. I think the package automatically takes the monthly averages of the time series. I have two time series (monthly), and I want to take the average of 3 monthly or 6 monthly, but the package takes the average of 30 months. I think the package assumes all datasets are daily or are in lesser time intervals. Is there any solution or suggestion about this?

Thank you in advance