logLik,hspec-method

<code><a rd-options="" href="/link/hspec-class?package=emhawkes&version=0.9.0" data-mini-rdoc="emhawkes::hspec-class">hspec-class</a></code>. The parameter values in the object are used to compute the log-likelihood.

object

inter-arrival times of events. Includes inter-arrival for events that occur in all dimensions. Start with zero.

inter_arrival

a vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.

type

a vector of mark (jump) sizes. Start with zero.

mark

the initial values of lambda component. Must have the same dimensional matrix with <code>hspec</code>.

lambda0

The loglikelihood of the ground process of the Hawkes model.
(The estimation for jump distribution is not provided.)

Simulate and fitting exponential multivariate Hawkes model.
This package simulates a multivariate Hawkes model, introduced by Hawkes (1971) <doi:10.1093/biomet/58.1.83>, with an exponential kernel and fits the parameters from the data.
Models with the constant parameters, as well as complex dependent structures, can also be simulated and estimated.
The estimation is based on the maximum likelihood method, introduced by introduced by Ozaki (1979) <doi:10.1007/BF02480272>, with 'maxLik' package.

Kyungsub Lee

emhawkes

Exponential Multivariate Hawkes Model

logLik,hspec-method function

<code><a rd-options='' href='hspec-class'>hspec-class</a></code>. The parameter values in the object are used to compute the log-likelihood.

logLik,hspec-method: Compute the loglikelihood function

Description

Usage

Arguments

See Also