Log-likelihood of the Hawkes process

版本 1.0.0 (15.7 KB) 作者: Martin Magris
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
0.0
(0)
111.0 次下载
更新时间 2018/9/27

查看许可证

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.

引用格式

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. 检索来源 .

MATLAB 版本兼容性
创建方式 R2018b
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Polynomials 的更多信息

Community Treasure Hunt

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

Start Hunting!

Haw_LL

版本 已发布 发行说明
1.0.0