sePP.negloglik {QRMlib}R Documentation

Self-Exciting Point Process Log-Likelihood

Description

evaluates negative log-likelihood of a self-exciting point process model (unmarked)

Usage

sePP.negloglik(theta, PP, case)

Arguments

theta 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

Value

value of log-likelihood

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.sePP, fit.seMPP

Examples

## Not run: 
#Example of using sePP.negloglik as objective function passed 
#to optimizer function
fit.sePP <- function(PP,markdens="GPD",model="Hawkes",
      mark.influence=T,predictable=F,std.errs=F)
{
  #lines removed here...
  fit <- nlminb(start=theta, objective=sePP.negloglik, PP=PP,case=case);
  par.ests <- fit$par;
  par.ests <- abs(par.ests)
  ll.max <- -sePP.negloglik(par.ests,PP,case)
  #Lines removed here ...
}
## End(Not run)

[Package QRMlib version 1.4.4 Index]