Determine the MLE of Hawkes process numerically

Source: R/fithp.R

Determine the MLE of Hawkes process numerically

fithp(events, end = max(events), vec = c(0.1, 0.2, 0.3))

Arguments

events

event times
end

end of observation period starting from 0 (default last event)
vec

vector of initial parameter values

Value

a hp object indicating the maximum likelihood parameter values (lambda0,alpha,beta) for Hawkes process. This is a non-convex problem and a (unique) solution is not guaranteed.

Examples

hp_obj <- pp_hp(lambda0 = 0.1, alpha = 0.45, beta = 0.5)
sims <- pp_simulate(hp_obj, start = 0, n = 10)
fithp(sims)

#> Hawkes Process 
#> lambda0  0.187693 
#> alpha  0.2095895 
#> beta  0.2095896 
#> events 4.814154 11.15583 15.91228 20.60488 22.13771 23.93866 24.597 24.80343 25.01784 25.33063