R-universe - oismrg-saamlab (Dr. Oscar Linares)

kronxNBC - Clock of Regimes Naive Bayes Classifier (Student-t)

Computes and fits a heavy-tailed Student-t Naive Bayes classifier for non-stationary financial market regime analysis (Clock of Regimes, COR). The core innovation is a profile grid search over the degrees-of-freedom parameter nu that prevents numerical underflow and structural classification failures when identifying fat-tailed Stress regimes. Provides S3 methods for fitting, prediction, summarising, plotting, and parameter extraction.

Last updated

2.30 score

KRONX - Clock of Regimes for Regime-Switching Fragility Analysis

Implements the Clock of Regimes (KRONX) framework for regime-switching fragility analysis of financial time series. The package fits Gaussian and Student-t Hidden Markov Models (HMMs) to return data, constructs a hazard-adjusted transition operator Q, derives the associated generator K = Q - I, and computes the fundamental matrix N = -K inverse to characterize expected residence times under structural fragility.

Last updated

2.00 score 214 downloads