compute_Q: Computes the Q function the EM algorithm.

In peterhalpin/hawkes: EM estimation of multivariate Hawkes process

Computes the Q function the EM algorithm.

Description

Computes obejctive function of the M step of the EM algorithm, for a single input / output process combination

Usage

compute_Q(out, inp, pp_obj, parms, k, list_P)

Arguments

out	index for which component of pp object is the output process.
inp	index for which component of pp object is 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".
list_P	output from probs.

Value

The (scalar) value of the Q function.

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