fit.sePP {QRMlib} | R Documentation |
fits fits self-exciting process to a point process object of class PP (unmarked) or MPP (marked)
fit.sePP(PP, model = "Hawkes", mark.influence = TRUE, std.errs = FALSE)
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 |
see pages 306-307 of QRM
a fitted self-exciting process object of class sePP
fit.seMPP
,
plot.sePP
,
stationary.sePP
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);