setHawkes | R Documentation |
'setHawkes
' constructs an object of class yuima.Hawkes
that is a mathematical description of a multivariate Hawkes model
setHawkes(lower.var = "0", upper.var = "t", var.dt = "s", process = "N", dimension = 1, intensity = "lambda", ExpKernParm1 = "c", ExpKernParm2 = "a", const = "nu", measure = NULL, measure.type = NULL)
lower.var |
Lower bound in the integral |
upper.var |
Upper bound in the integral |
var.dt |
Time variable |
process |
Counting process |
dimension |
An integer that indicates the components of the counting process |
intensity |
Intensity Process |
ExpKernParm1 |
Kernel parameters |
ExpKernParm2 |
Kernel parameters |
const |
Constant term in the intensity process |
measure |
Jump size. By default 1 |
measure.type |
Type. By default |
By default the object is an univariate Hawkes process
The function returns an object of class yuima.Hawkes
.
YUIMA Team
## Not run: # Definition of an univariate hawkes model provaHawkes2<-setHawkes() str(provaHawkes2) # Simulation true.par <- list(nu1=0.5, c11=3.5, a11=4.5) simprv1 <- simulate(object = provaHawkes2, true.parameter = true.par, sampling = setSampling(Terminal =70, n=7000)) plot(simprv1) # Computation of intensity lambda1 <- Intensity.PPR(simprv1, param = true.par) plot(lambda1) # qmle res1 <- qmle(simprv1, method="Nelder-Mead", start = true.par) summary(res1) ## End(Not run)
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