infer_lambda: Infer lambda process with given Hawke model and realized path

Description Usage Arguments Value Examples

Description

Infer lambda process with given Hawke model and realized path

Usage

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infer_lambda(object, inter_arrival = NULL, type = NULL, mark = NULL,
  N = NULL, Nc = NULL, lambda0 = NULL, N0 = NULL)

Arguments

object

hspec-class. This object includes the parameter values.

inter_arrival

inter-arrival times of events. Includes inter-arrival for events that occur in all dimensions. Start with zero.

type

a vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.

mark

a vector of mark (jump) sizes. Start with zero.

N

Hawkes process. if not provided, then generate using inter_arrival and type.

Nc

cumulated Hawkes process. if not provided, then generate using inter_arrival, type and mark.

lambda0

the inital values of lambda component. Must have the same dimensional matrix (n by n) with hspec.

N0

the initial values of N.

Value

hreal S3-object, the Haweks model with infered intensity, lambda

Examples

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mu <- c(0.1, 0.1)
alpha <- matrix(c(0.2, 0.1, 0.1, 0.2), nrow=2, byrow=TRUE)
beta <- matrix(c(0.9, 0.9, 0.9, 0.9), nrow=2, byrow=TRUE)
h <- new("hspec", mu=mu, alpha=alpha, beta=beta)
res <- hsim(h, size=100)
res2 <- infer_lambda(h, res$inter_arrival, res$type)

ksublee/emhawkes documentation built on April 18, 2019, 9:46 a.m.