This paper introduces the hhsmm R package, which involves functions for initializing, fitting, and predication of hidden hybrid Markov/semi-Markov models. These models are flexible with both Markovian semi-Markovian states, applied to situations where model absorbing or macro-states. The left-to-right series/parallel networks states two states. also includes switching regression as well auto-re...

Probability resembles the ancient Roman God Janus since, like Janus, probability also has a face with two different sides, which correspond to metaphorical gateways and transitions between past future [...]

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...