Class RegimeDetector

java.lang.Object

com.quantfinlib.ml.RegimeDetector

public final class RegimeDetector
extends Object

Two-state Gaussian Markov-switching model (hidden Markov model) fitted by Baum-Welch EM with forward-backward scaling: detects calm/turbulent regimes in a return series. State 1 is always the high-volatility regime. Feeds naturally into vol targeting (de-lever when smoothedHighVolProbability rises) and liquidity forecasting.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	RegimeDetector.RegimeModel

Method Summary

Modifier and Type	Method	Description
static RegimeDetector.RegimeModel	fit(double[] returns, int maxIterations)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

fit

public static RegimeDetector.RegimeModel fit(double[] returns,
 int maxIterations)