Log-likelihood of the Hawkes process

Version 1.0.0 (15,7 ko) par Martin Magris
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
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Mise à jour 27 sept. 2018

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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.

Citation pour cette source

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. Récupéré le .

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Créé avec R2018b
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Haw_LL

Version Publié le Notes de version
1.0.0