logL: Computes the incomplete data log likelihood of the Hawkes...

In peterhalpin/hawkes: EM estimation of multivariate Hawkes process

Computes the incomplete data log likelihood of the Hawkes process.

Description

Computes the contribution of a single margin to the incomplete data log likelihood of the Hawkes process.

Usage

logL(out, inp, pp_obj, parms, k)

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".

Value

The (scalar) value of incomplete data log likelihood for the output margin.

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