{
"description": "Generic 2-state lambda (ecld) HMM fixture \u2014 lambdas [1.0, 1.3], same transitions/observations as hmm_gaussian_2state",
"n_states": 2,
"delta": [
0.6,
0.4
],
"gamma": [
[
0.92,
0.08
],
[
0.15,
0.85
]
],
"means": [
0.008,
-0.012
],
"stds": [
0.018,
0.028
],
"lambdas": [
1.0,
1.3
],
"observations": [
0.005,
-0.003,
0.011,
-0.021,
0.007,
-0.015,
0.002,
-0.009,
0.004,
-0.018
],
"expected": {
"mllk": -27.12779999426177,
"smooth_probs": [
[
0.7568455028162502,
0.7514313174529219,
0.7423022807444001,
0.6322260464849455,
0.6539473283090684,
0.5937538012727108,
0.6147745404030929,
0.5837335069044183,
0.5859203322026071,
0.517120403014209
],
[
0.24315449718374982,
0.2485686825470781,
0.2576977192556,
0.3677739535150545,
0.3460526716909316,
0.40624619872728923,
0.3852254595969071,
0.4162664930955817,
0.4140796677973929,
0.48287959698579097
]
],
"viterbi_path": [
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
],
"last_forward_filter": [
0.517120403014209,
0.48287959698579097
],
"forecast_state_h1": [
0.548182710320941,
0.45181728967905904
],
"forecast_state_h2": [
0.5721006869471246,
0.42789931305287543
],
"forecast_vol_h1": 0.022963708598468312,
"forecast_vol_h2": 0.02281801633136606,
"forecast_mean_h1": -0.001036345793581181,
"pseudo_residuals": [
0.07579413703928338,
-0.3095047807990768,
0.27594628546860606,
-0.9713988295806534,
0.14949613815732984,
-0.6933255345386602,
-0.03384074291510362,
-0.45894406767559937,
0.02198349244947566,
-0.7572706361256577
],
"decode_stats_first": {
"weighted_mean": 0.0031369100563250043,
"weighted_vol": 0.021300752283330556,
"weighted_lambda": 1.072946349155125
},
"decode_stats_last": {
"weighted_mean": -0.001657591939715819,
"weighted_vol": 0.02313679279194254,
"weighted_lambda": 1.1448638790957373
}
}
}