Metadata-Version: 2.0
Name: regime-switch-model
Version: 0.1.1
Summary: Regime-Switching Model
Home-page: https://github.com/Liuyi-Hu/regime_switch_model
Author: Liuyi Hu
Author-email: liuyi.hu.apply@gmail.com
License: new BSD
Platform: UNKNOWN
Classifier: Development Status :: 3 - Alpha
Classifier: License :: OSI Approved
Classifier: Programming Language :: Python :: 2.7
Classifier: Topic :: Scientific/Engineering
Requires-Dist: numpy
Requires-Dist: scikit-learn
Requires-Dist: scipy

===============
regime_switch_model
===============
regime_switch_model is a set of algorithms for learning and inference
of the Regime-Switching Model.


Important links
===============

* Official source code repo: https://github.com/Liuyi-Hu/regime_switch_model

Dependencies
============

The required dependencies to use regime_switch_model are

* Python >= 2.7
* NumPy (tested to work with >=1.13.1)
* SciPy (tested to work with >=0.19.0)
* scikit-learn >= 0.18.1


Installation
============

First make sure you have installed all the dependencies listed above. Then run
the following command::

    pip install -U --user regime_switch_model


Reference
============
* Ma, Ying, Leonard MacLean, Kuan Xu, and Yonggan Zhao. "A portfolio optimization model with regime-switching risk factors for sector exchange traded funds." Pac J Optim 7, no. 2 (2011): 281-296.

Credits
============
Part of the code are from Python package 'hmmlearn'. Their source code can be found here: https://github.com/hmmlearn/hmmlearn


