I am discovering the marvellous world of such called "Hidden Markov Models", also called "regime switching models". I would like to adapt a HMM in R to detect trends and turning points. I would like to build the model as generic as possible so that I can test it on many prices.
Can anyone recommend a paper? I have seen (and read) (more than) a few but I am looking for a simple model that is easy to implement.
Also, what R packages are recommended? I can see there is a lot of them doing HMM.
I have bought the book "Hidden Markov models for time series: an introduction using R", let see what's in it ;)