| fit.sePP {QRMlib} | R Documentation |
fits fits self-exciting process to a point process object of class PP (unmarked) or MPP (marked)
fit.sePP(PP, model = "Hawkes", mark.influence = TRUE, std.errs = FALSE)
PP |
a point process object of class PP (unmarked) or MPP (marked) |
model |
(optional)name of self-exciting model: Hawkes or ETAS |
mark.influence |
(optional)whether marks of marked point process may influence the self-excitement |
std.errs |
(optional) whether standard errors should be computed VALUE |
see pages 306-307 of QRM
a fitted self-exciting process object of class sePP
fit.seMPP,
plot.sePP,
stationary.sePP
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);
mod2a <- fit.sePP(tmp,mark.influence=FALSE,std.errs=TRUE);
## Not run:
mod2b <- fit.sePP(tmp,mark.influence=TRUE,std.errs=TRUE);
mod2c <- fit.sePP(tmp,model="ETAS",mark.influence=FALSE,std.errs=TRUE);
mod2d <- fit.sePP(tmp,model="ETAS",mark.influence=TRUE,std.errs=TRUE);
## End(Not run)