| stationary.sePP {QRMlib} | R Documentation |
checks a sufficient condition for stationarity of a self-exciting model and gives information about cluster size
stationary.sePP(sePP)
sePP |
a fitted self-exciting process created with fit.sePP or marked self-exciting process created with fit.seMPP |
a vector consisting of binary flag for stationarity condition, estimated number of direct decendents of any event and estimated size of cluster generated by any new event
Daley and Vere-Jones, An Introduction to the Theory of Point Processes, Springer, 2nd Edition 2003, page 203
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);
mod3a <- fit.seMPP(tmp,mark.influence=FALSE,std.errs=TRUE);
#Note that stationary.sePP applies to both sePP and seMPP processes.
stationary.sePP(mod3a);