# mloglik1b: Minus loglikelihood of an IHSEP model In IHSEP: Inhomogeneous Self-Exciting Process

## Description

Calculates the minus loglikelihood of an IHSEP model with given baseline inensity function ν and excitation function g for event times `jtms` on interval [0,TT].

## Usage

 ```1 2 3 4``` ```mloglik1b(jtms, TT = max(jtms), nu, g, Ig=function(x)sapply(x,function(y)integrate(g,0,y, rel.tol=1e-12,abs.tol=1e-12,subdivisions=1000)\$value), Inu=function(x)sapply(x,function(y)integrate(nu,0,y)\$value)) ```

## Arguments

 `jtms` A numeric vector, with values sorted in ascending order. Jump times to fit the inhomogeneous self-exciting point process model on. `TT` A scalar. The censoring time, or the terminal time for observation. Should be (slightly) greater than the maximum of `jtms`. `nu` A (vectorized) function. The baseline intensity function. `g` A (vectorized) function. The excitation function. `Ig` A (vectorized) function. Its value at `t` gives the integral of the excitation function from 0 to `t`. `Inu` A (vectorized) function. Its value at `t` gives the integral of the baseline intensity function ν from 0 to `t`.

## Details

This version of the mloglik function uses external C code to speedup the calculations. When given the analytical form of `Inu` or a quickly calculatable `Inu`, it should be (probably slightly) faster than `mloglik1a`. Otherwise it is the same as `mloglik0` and `mloglik1a`.

## Value

The value of the negative log-liklihood.

## Author(s)

Feng Chen <feng.chen@unsw.edu.au>

`mloglik0` and `mloglik1a`

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29``` ```## simulated data of an IHSEP on [0,1] with baseline intensity function ## nu(t)=200*(2+cos(2*pi*t)) and excitation function ## g(t)=8*exp(-16*t) data(asep) ## get the birth times of all generations and sort in ascending order tms <- sort(unlist(asep)) ## calculate the minus loglikelihood of an SEPP with the true parameters mloglik1b(tms,TT=1,nu=function(x)200*(2+cos(2*pi*x)), g=function(x)8*exp(-16*x),Ig=function(x)8/16*(1-exp(-16*x))) ## calculate the MLE for the parameter assuming known parametric forms ## of the baseline intensity and excitation functions ## Not run: system.time(est <- optim(c(400,200,2*pi,8,16), function(p){ mloglik1b(jtms=tms,TT=1, nu=function(x)p[1]+p[2]*cos(p[3]*x), g=function(x)p[4]*exp(-p[5]*x), Ig=function(x)p[4]/p[5]*(1-exp(-p[5]*x))) }, hessian=TRUE,control=list(maxit=5000,trace=TRUE)) ) ## point estimate by MLE est\$par ## standard error estimates: diag(solve(est\$hessian))^0.5 ## End(Not run) ```

IHSEP documentation built on Aug. 16, 2021, 5:07 p.m.