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Log-likelihood of the Hawkes process

version 1.0.0 (15.7 KB) by Martin Magris
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.

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Updated 27 Sep 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.

Cite As

Martin Magris (2021). Log-likelihood of the Hawkes process (https://www.mathworks.com/matlabcentral/fileexchange/68936-log-likelihood-of-the-hawkes-process), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2018b
Compatible with any release
Platform Compatibility
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