LQM Registry / regime

Two-State Gaussian HMM Regime Model

Deterministic two-state Gaussian hidden Markov model estimated with scaled Baum-Welch EM, emitting state probabilities, transition persistence, regime separation and current latent-state classification.

Model keylq.regime.gaussian-hmm2

Version1.0.0

Runtimepython-process

Run governed model Try browser demo

Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "values"
    ],
    "properties": {
        "values": {
            "type": "array",
            "items": {
                "type": "number"
            },
            "minItems": 30
        }
    }
}

Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "states",
        "transition_matrix",
        "state_probabilities",
        "current_state",
        "log_likelihood",
        "state_separation_z"
    ]
}

Default parameters

{
    "max_iterations": 100,
    "tolerance": 9.99999999999999954748111825886258685613938723690807819366455078125e-8,
    "variance_floor": 1.0000000000000000209225608301284726753266340892878361046314239501953125e-8,
    "initial_persistence": 0.9499999999999999555910790149937383830547332763671875
}

Example input

{
    "values": [
        -0.0200000000000000004163336342344337026588618755340576171875,
        -0.01499999999999999944488848768742172978818416595458984375,
        -0.0179999999999999986399767948341832379810512065887451171875,
        -0.01000000000000000020816681711721685132943093776702880859375,
        -0.0120000000000000002498001805406602215953171253204345703125,
        -0.01700000000000000122124532708767219446599483489990234375,
        -0.01400000000000000029143354396410359186120331287384033203125,
        -0.00899999999999999931998839741709161899052560329437255859375,
        -0.0109999999999999993616217608405349892564117908477783203125,
        -0.01600000000000000033306690738754696212708950042724609375,
        -0.01299999999999999940325512426397835952229797840118408203125,
        -0.01000000000000000020816681711721685132943093776702880859375,
        -0.0120000000000000002498001805406602215953171253204345703125,
        -0.01499999999999999944488848768742172978818416595458984375,
        -0.00899999999999999931998839741709161899052560329437255859375,
        0.0179999999999999986399767948341832379810512065887451171875,
        0.021999999999999998723243521681069978512823581695556640625,
        0.01600000000000000033306690738754696212708950042724609375,
        0.025000000000000001387778780781445675529539585113525390625,
        0.0200000000000000004163336342344337026588618755340576171875,
        0.0189999999999999995281552145343084703199565410614013671875,
        0.024000000000000000499600361081320443190634250640869140625,
        0.0210000000000000013045120539345589349977672100067138671875,
        0.01700000000000000122124532708767219446599483489990234375,
        0.022999999999999999611421941381195210851728916168212890625,
        0.0259999999999999988065102485279567190445959568023681640625,
        0.0179999999999999986399767948341832379810512065887451171875,
        0.0200000000000000004163336342344337026588618755340576171875,
        0.021999999999999998723243521681069978512823581695556640625,
        0.0189999999999999995281552145343084703199565410614013671875,
        0.025000000000000001387778780781445675529539585113525390625,
        0.0210000000000000013045120539345589349977672100067138671875,
        0.024000000000000000499600361081320443190634250640869140625,
        0.0179999999999999986399767948341832379810512065887451171875,
        0.022999999999999999611421941381195210851728916168212890625,
        0.0200000000000000004163336342344337026588618755340576171875
    ]
}

Capabilities

cpuregimehidden-stateprobabilistictime-series

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