logLik-hspec-method: Compute the loglikelihood function

In emhawkes: Exponential Multivariate Hawkes Model

Description

The loglikelihood of the ground process of the Hawkes model. (The estimation for jump distribution is not provided.)

Usage

## S4 method for signature 'hspec'
logLik(
  object,
  inter_arrival,
  type = NULL,
  mark = NULL,
  N = NULL,
  Nc = NULL,
  N0 = NULL,
  lambda0 = NULL
)

Arguments

object	hspec-class. The parameter values in the object are used to compute the log-likelihood.
inter_arrival	a vector of realized inter-arrival times of events. Includes inter-arrival for events that occur in all dimensions. Start with zero.
type	a vector of realized dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.
mark	a vector of realized mark (jump) sizes. Start with zero.
N	a matrix of counting processes
Nc	a matrix of cumulated counting processes
N0	the initial value of N
lambda0	the initial values of lambda component. Must have the same dimensional matrix with hspec.

See Also

hspec-class, hfit,hspec-method

emhawkes documentation built on Feb. 16, 2021, 9:06 a.m.