seMPP.negloglik {QRMlib}R Documentation

Marked Self-Exciting Point Process Log-Likelihood

Description

evaluates negative log-likelihood of a marked self-exciting point process model; this will be objective function massed to nlminb() or optim().

Usage

seMPP.negloglik(theta, PP, case, markdens)

Arguments

theta vector of parameters of self-exciting model
PP point-process data
case a numerical variable coding whether Hawkes or ETAS forms are used and whether marks may have an influence on future points
markdens name of density for marks; currently must be "GPD"

Value

value of log-likelihood

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.seMPP, fit.sePP

Examples

## Not run: 
#Example of using seMPP.negloglik as objective function passed 
#to optimizer function
fit.seMPP <- function(PP,markdens="GPD",model="Hawkes",
       mark.influence=TRUE,predictable=FALSE,std.errs=FALSE)
{
  if (class(PP) != "MPP") stop("Not marked point process data");
  marks <- PP$marks;
  groundmod <- fit.sePP(PP,model,mark.influence=TRUE,std.errs=FALSE);
  #lines removed here...
  if(predicatable)
  {
    theta <- c(par.ests,0); 
    fit <- nlminb(start=theta, objective=seMPP.negloglik, 
            PP=PP,case=case, markdens=markdens);
    #Lines removed here ...
  }
}
## End(Not run)

[Package QRMlib version 1.4.4 Index]