setCarmaHawkes {yuima} | R Documentation |
Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity
Description
'setCarmaHawkes' describes a self-exciting Hawkes process where the intensity is a CARMA(p,q) process. The model admits the Hawkes process with exponential kernel as a special case but it is able to reproduce a more complex time-dependence structure
Usage
setCarmaHawkes(p, q, law = NULL, base.Int = "mu0",
ar.par = "a", ma.par = "b", Counting.Process = "N",
Intensity.var = "lambda", Latent.var = "x", time.var = "t",
Type.Jump = FALSE, XinExpr = FALSE)
Arguments
p |
a non-negative integer that indicates the number of the autoregressive coefficients. |
q |
a non-negative integer that indicates the number of the moving average coefficients. |
law |
An object of |
base.Int |
a character-string that is the label of the baseline Intensity parameter. Defaults to |
ar.par |
a character-string that is the label of the autoregressive coefficients. The default Value is |
ma.par |
a character-string that is the label of the moving average coefficients. The default Value is |
Counting.Process |
a character-string that is the label of the Counting process. Defaults to |
Intensity.var |
a character-string that is the label of the Intensity process. Defaults to |
Latent.var |
a character-string that is the label of the unobserved process. Defaults to |
time.var |
the name of the time variable. |
Type.Jump |
a logical value. If it is |
XinExpr |
a logical variable. The default value |
Value
Model an object of yuima.carmaHawkes-class
.
Author(s)
The YUIMA Project Team
Contacts: Lorenzo Mercuri lorenzo.mercuri@unimi.it
References
Mercuri, L., Perchiazzo, A., & Rroji, E. (2022). A Hawkes model with CARMA (p, q) intensity. doi:10.48550/arXiv.2208.02659.
Examples
## Not run:
# Definition of an Hawkes with exponential Kernel
mod1 <- setCarmaHawkes(p = 1, q = 0)
# Definition of an Hawkes with a CARMA(2,1) Intensity process
mod2 <- setCarmaHawkes(p = 2, q = 1)
## End(Not run)