Ramkishore Swaminathan
2016-Jul-28 14:45 UTC
[R] EM algorithm for maximizing the likelihood of Multivariate Hawkes process
I am trying to model data with multivariate Hawkes distribution. Take the below example. I am able to compute likelihood but don't know how to maximize it. library(hawkes) lambda0 <- c(0.2,0.2) alpha <- matrix(c(0.5,0,0,0.5),byrow=TRUE,nrow=2) beta <- c(0.7,0.7) history <- simulateHawkes(lambda0,alpha,beta,3600) l <- likelihoodHawkes(lambda0,alpha,beta,history) How do I maximize this likelihood so that I can find the best lambda, alpha and beta parameters? I am not able to find any library or function calls for doing this. Thanks for the help. [[alternative HTML version deleted]]
Jeff Newmiller
2016-Jul-29 06:13 UTC
[R] EM algorithm for maximizing the likelihood of Multivariate Hawkes process
How did you try to find the answer before posting? Some possibilities might be go ogling [1] or perusing CRAN to find [2]... Note that HTML tends to mangle code... please follow the Posting Guide and send plain text email to this list. [1] http://bfy.tw/6y3o [2] https://cran.r-project.org/web/views/Optimization.html -- Sent from my phone. Please excuse my brevity. On July 28, 2016 7:45:30 AM PDT, Ramkishore Swaminathan <ramkishore31 at gmail.com> wrote:>I am trying to model data with multivariate Hawkes distribution. Take >the >below example. I am able to compute likelihood but don't know how to >maximize it. > >library(hawkes) >lambda0 <- c(0.2,0.2) >alpha <- matrix(c(0.5,0,0,0.5),byrow=TRUE,nrow=2) >beta <- c(0.7,0.7) >history <- simulateHawkes(lambda0,alpha,beta,3600) >l <- likelihoodHawkes(lambda0,alpha,beta,history) > >How do I maximize this likelihood so that I can find the best lambda, >alpha >and beta parameters? > >I am not able to find any library or function calls for doing this. > >Thanks for the help. > > [[alternative HTML version deleted]] > >______________________________________________ >R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code.