etasap: Maximum Likelihood Estimates of the ETAS Model

In SAPP: Statistical Analysis of Point Processes

Maximum Likelihood Estimates of the ETAS Model

Description

Compute the maximum likelihood estimates of five parameters of ETAS model. This function consists of two (exact and approximated) versions of the calculation algorithm for the maximization of likelihood.

Usage

etasap(time, mag, threshold = 0.0, reference = 0.0, parami, zts = 0.0, 
       tstart, zte, approx = 2, tmpfile = NULL, nlmax = 1000, plot = TRUE)

Arguments

time	the time measured from the main shock(t=0).
mag	magnitude.
threshold	threshold magnitude.
reference	reference magnitude.
parami	initial estimates of five parameters \mu, K, c, \alpha and p.
zts	the start of the precursory period.
tstart	the start of the target period.
zte	the end of the target period.
approx	> 0 : the level for approximation version, which is one of the five levels 1, 2, 4, 8 and 16. The higher level means faster processing but lower accuracy. = 0 : the exact version.
tmpfile	a character string naming the file to write the process of maximum likelihood procedure. If "" print the process to the standard output and if NULL (default) no report.
nlmax	the maximum number of steps in the process of minimizing.
plot	logical. If TRUE (default) the graph of cumulative number and magnitude of earthquakes against the ordinary time is plotted.

Details

The ETAS model is a point-process model representing the activity of earthquakes of magnitude M_z and larger occurring in a certain region during a certain interval of time. The total number of such earthquakes is denoted by N. The seismic activity includes primary activity of constant occurrence rate \mu in time (Poisson process). Each earthquake ( including aftershock of another earthquake) is followed by its aftershock activity, though only aftershocks of magnitude M_z and larger are included in the data. The aftershock activity is represented by the Omori-Utsu formula in the time domain. The rate of aftershock occurrence at time t following the ith earthquake (time: t_i, magnitude: M_i) is given by

n_i(t) = K exp[\alpha(M_i-M_z)]/(t-t_i+c)^p,

for t>t_i where K, \alpha, c, and p are constants, which are common to all aftershock sequences in the region. The rate of occurrence of the whole earthquake series at time t becomes

\lambda(t) = \mu + \Sigma_i n_i(t).

The summation is done for all i satisfying t_i < t. Five parameters \mu, K, c, \alpha and p represent characteristics of seismic activity of the region.

Value

ngmle	negative max log-likelihood.
param	list of maximum likelihood estimates of five parameters \mu, K, c, \alpha and p.
aic2	AIC/2.

References

Ogata, Y. (2006) Computer Science Monographs, No.33, Statistical Analysis of Seismicity - updated version (SASeies2006). The Institute of Statistical Mathematics.

Examples

data(main2003JUL26)  # The aftershock data of 26th July 2003 earthquake of M6.2 
x <- main2003JUL26
etasap(x$time, x$magnitude, threshold = 2.5, reference = 6.2, 
       parami = c(0, 0.63348e+02, 0.38209e-01, 0.26423e+01, 0.10169e+01),
       tstart = 0.01, zte = 18.68)

SAPP documentation built on June 7, 2023, 5:45 p.m.