fithp {ppdiag}

Determine the MLE of Hawkes process numerically

Description

Determine the MLE of Hawkes process numerically

Usage

fithp(events, end = max(events), vec = c(0.1, 0.2, 0.3))

Arguments

events

event times

end

end of observation period starting from 0 (default last event)

vec

vector of initial parameter values

Value

a hp object indicating the maximum likelihood parameter values (lambda0,alpha,beta) for Hawkes process. This is a non-convex problem and a (unique) solution is not guaranteed.

Examples

hp_obj <- pp_hp(lambda0 = 0.1, alpha = 0.45, beta = 0.5)
sims <- pp_simulate(hp_obj, start = 0, n = 10)
fithp(sims)