Log-likelihood of the Hawkes process

Versione 1.0.0 (15,7 KB) da Martin Magris
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
0.0
(0)
111 download
Aggiornato 27 set 2018

Visualizza la licenza

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.

Cita come

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. Recuperato .

Compatibilità della release di MATLAB
Creato con R2018b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Polynomials in Help Center e MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Haw_LL

Versione Pubblicato Note della release
1.0.0