View source: R/hawkes_em_functions.R
compute_I | R Documentation |
For each event in an output process, compute its intensity under each event in an input process. This is the main workhorse of both the E and M step. Note that the return fromat would more intuitively be represented as n_output_events by n_input_events matrix, but this gets very large and sparse for longer time series. So instead of a matrix, the output is fromated two lists, each being itself a list of length n_output_events – one list contains intensities, the other the indices, for input events that have non-negligible intensity. This is less intuitive in terms of storage but substantially faster (linear versus quadratic computational complexity; see Halpin 2013).
compute_I(out, inp, pp_obj, parms, k, Log = F)
out |
index for which component of |
inp |
index for which component of |
pp_obj |
a |
parms |
parameters of the Hawkes process formatted as described for |
k |
optional: output from |
Log |
logical: return |
A named list with components c("Intensity", "Compensator", "Parents")
, each of which are lists with length(pp_obj[[out]])
components. "Intensity"
contains the non-zero intensities for each output event, and "Parents"
contains the parent index (i.e., from pp_obj[[inp]])
for each value in "Intensity"
. Similarly for "Compensator"
.
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