setHawkes: Constructor of Hawkes model

In yuima: The YUIMA Project Package for SDEs

Constructor of Hawkes model

Description

'setHawkes' constructs an object of class yuima.Hawkes that is a mathematical description of a multivariate Hawkes model

Usage

setHawkes(lower.var = "0", upper.var = "t", var.dt = "s",
  process = "N", dimension = 1, intensity = "lambda",
  ExpKernParm1 = "c", ExpKernParm2 = "a", const = "nu",
  measure = NULL, measure.type = NULL)

Arguments

lower.var	Lower bound in the integral
upper.var	Upper bound in the integral
var.dt	Time variable
process	Counting process
dimension	An integer that indicates the components of the counting process
intensity	Intensity Process
ExpKernParm1	Kernel parameters
ExpKernParm2	Kernel parameters
const	Constant term in the intensity process
measure	Jump size. By default 1
measure.type	Type. By default code.

Details

By default the object is an univariate Hawkes process

Value

The function returns an object of class yuima.Hawkes.

Author(s)

YUIMA Team

Examples

## Not run: 
# Definition of an univariate hawkes model

provaHawkes2<-setHawkes()
str(provaHawkes2)

# Simulation

true.par <- list(nu1=0.5, c11=3.5,  a11=4.5)

simprv1 <- simulate(object = provaHawkes2, true.parameter = true.par,
  sampling = setSampling(Terminal =70, n=7000))

plot(simprv1)

# Computation of intensity

lambda1 <- Intensity.PPR(simprv1, param = true.par)

plot(lambda1)

# qmle

res1 <- qmle(simprv1, method="Nelder-Mead", start = true.par)

summary(res1)

## End(Not run)

yuima documentation built on Dec. 28, 2022, 2:01 a.m.