setHawkes function

Constructor of Hawkes model

'setHawkes' constructs an object of class yuima.Hawkes that is a mathematical description of a multivariate Hawkes model

setHawkes(lower.var = "0", upper.var = "t", var.dt = "s",
  process = "N", dimension = 1, intensity = "lambda",
  ExpKernParm1 = "c", ExpKernParm2 = "a", const = "nu",
  measure = NULL, measure.type = NULL)

Arguments

• lower.var: Lower bound in the integral
• upper.var: Upper bound in the integral
• var.dt: Time variable
• process: Counting process
• dimension: An integer that indicates the components of the counting process
• intensity: Intensity Process
• ExpKernParm1: Kernel parameters
• ExpKernParm2: Kernel parameters
• const: Constant term in the intensity process
• measure: Jump size. By default 1
• measure.type: Type. By default code.

Details

By default the object is an univariate Hawkes process

Returns

The function returns an object of class yuima.Hawkes.

Author(s)

YUIMA Team

Examples

## Not run:

# Definition of an univariate hawkes model

provaHawkes2<-setHawkes()
str(provaHawkes2)

# Simulation

true.par <- list(nu1=0.5, c11=3.5,  a11=4.5)

simprv1 <- simulate(object = provaHawkes2, true.parameter = true.par,
  sampling = setSampling(Terminal =70, n=7000))

plot(simprv1)

# Computation of intensity

lambda1 <- Intensity.PPR(simprv1, param = true.par)

plot(lambda1)

# qmle

res1 <- qmle(simprv1, method="Nelder-Mead", start = true.par)

summary(res1)
## End(Not run)