fit.sePP {QRMlib}R Documentation

Fit Self-Exciting Process

Description

fits fits self-exciting process to a point process object of class PP (unmarked) or MPP (marked)

Usage

fit.sePP(PP, model = "Hawkes", mark.influence = TRUE, std.errs = FALSE)

Arguments

PP a point process object of class PP (unmarked) or MPP (marked)
model (optional)name of self-exciting model: Hawkes or ETAS
mark.influence (optional)whether marks of marked point process may influence the self-excitement
std.errs (optional) whether standard errors should be computed VALUE

Details

see pages 306-307 of QRM

Value

a fitted self-exciting process object of class sePP

See Also

fit.seMPP, plot.sePP, stationary.sePP

Examples

data(sp500);
sp500.nreturns <- -mk.returns(sp500); 
window <- (seriesPositions(sp500.nreturns) > 
    timeDate("12/31/1995",format="%m/%d/%Y")); 
sp500.nreturns <- sp500.nreturns[window]; 
tmp <- extremalPP(sp500.nreturns,ne=100); 
mod2a <- fit.sePP(tmp,mark.influence=FALSE,std.errs=TRUE); 

[Package QRMlib version 1.4.4 Index]