Exponential {hawkesbow} | R Documentation |
Reproduction kernels for the Hawkes processes
Description
These classes are derived from the class Model
, each implementing
a different reproduction kernel for the Hawkes process.
They inherit all fields from Model.
Details
The kernel
Exponential
has density functionIts vector of parameters must be of the form
. Both
loglik
, its derivatives, andwhittle
can be used with this reproduction kernel.The kernel
SymmetricExponential
has density functionIts vector of parameters must be of the form
. Only
whittle
can be used with this reproduction kernel.The kernel
Gaussian
has density functionIts vector of parameters must be of the form
. Only
whittle
is available with this reproduction kernel.The kernel
PowerLaw
has density functionIts vector of parameters must be of the form
. Both
loglik
, its derivatives, andwhittle
can be used with this reproduction kernel.The kernels
Pareto3
,Pareto2
andPareto1
have density functionwith
= 3, 2 and 1 respectively. Their vectors of parameters must be of the form
. Only
whittle
is available with this reproduction kernel.