Log-likelihood of the Hawkes process

バージョン 1.0.0 (15.7 KB) 作成者: Martin Magris

Log-likelihood of the univariate Hawkes process with exponential kernel of order one.

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更新 2018/9/27

ライセンスの表示

The function evaluates the Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
the Haw_ll Function implements Ogata's recurrent relationship to decrease algorithm complexity.
[Ogata, Yosihiko. "On Lewis' simulation method for point processes." IEEE Transactions on Information Theory 27.1 (1981): 23-31.]

An example on how to use the log-likelihood to fit a data sample is included.

引用

Martin Magris (2024). Log-likelihood of the Hawkes process (https://www.mathworks.com/matlabcentral/fileexchange/68936-log-likelihood-of-the-hawkes-process), MATLAB Central File Exchange. 取得済み April 26、2024.

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Haw_LL

バージョン	公開済み	リリースノート
1.0.0	2018/9/27		ダウンロード