compensator: Wrapper for 'compute_I$Compensator'.

In peterhalpin/hawkes: EM estimation of multivariate Hawkes process

Wrapper for compute_I$Compensator.

Description

Similar to intensity. Takes an m-dimensional multivariate process and computes the compensator for indicated output and input processes.

Usage

compensator(out, inp, pp_obj, parms, k, t = NULL)

Arguments

out	index for which component of pp object is the output process.
inp	a vector of indices for which components of pp object are the input process.
pp_obj	a pp object.
parms	parameters of the Hawkes process formatted as described for set_parms.
k	output from set_kernel(kernel_type). Currently only implemented for kernel_type = "dgamma".
#	t: override default time interval [0, attr(events, "end_time"] with a different upper bound.

Value

vector of length(inp), where the j-th element is the (scalar) value of the compensator for events[[out]] and events[[inp[j]]].

peterhalpin/hawkes documentation built on July 2, 2023, 1:04 p.m.