Module regimes 

Regime Detection and Market State Tools

This module provides algorithms for identifying market regimes, such as volatility clustering, hidden Markov models (HMM), and changepoint detection.

Re-exports

pub use ecld::ecld_cdf;

pub use ecld::ecld_log_pdf;

pub use ecld::ecld_pdf;

pub use ecld::ecld_variance;

pub use ecld::natural_to_work;

pub use ecld::work_to_natural;

pub use gaussian_hmm::EmissionFamily;

pub use gaussian_hmm::GaussianHmmDecode;

pub use gaussian_hmm::GaussianHmmError;

pub use gaussian_hmm::GaussianHmmFilter;

pub use gaussian_hmm::GaussianHmmFitConfig;

pub use gaussian_hmm::GaussianHmmFitResult;

pub use gaussian_hmm::GaussianHmmParams;

pub use gaussian_hmm::fit_em;

pub use hmm_forecast::HmmDecodeStatsRow;

pub use hmm_forecast::HmmDiagnostics;

pub use hmm_forecast::HmmStateObsStats;

pub use hmm_forecast::calc_stats_from_obs;

pub use hmm_forecast::decode_stats_history;

pub use hmm_forecast::forecast_observation_mean;

pub use hmm_forecast::forecast_observation_pdf;

pub use hmm_forecast::forecast_state;

pub use hmm_forecast::forecast_volatility;

pub use hmm_forecast::pseudo_residuals;

Modules

analytics

Core Analytics and Diagnostics for Market Regimes

ecld

Symmetric lambda (exponential power / generalized normal) emission density.

ensemble

Regime Ensemble and Voting

gaussian_hmm

Gaussian / lambda-emission Hidden Markov Model — batch fit, decode, and streaming filter.

gmm

Gaussian Mixture Models (Two Sigma 2021)

hmm

Hidden Markov Models (Hamilton 1989)

hmm_forecast

HMM forecasting and diagnostics (ldhmm parity — slice 3).

hmm_gas

HMM-GAS (Score-Driven Transitions)

hsmm

Hidden Semi-Markov Models (HSMM)

india

India-Specific Regime Detection Helpers

ms_garch

Markov-Switching GARCH (MS-GARCH)

multi_asset

Multi-Asset Regime Detection

pelt

Changepoint Detection (Killick et al. 2012)

tar

Threshold Autoregressive (TAR / SETAR) Models

volatility_clustering

Volatility Regimes (Prakash et al. 2021)

Enums

MarketRegime

Represents common market regime states.