[R] EM algorithm for maximizing the likelihood of Multivariate Hawkes process

[Jeff Newmiller]

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[1] http://bfy.tw/6y3o
[2] https://cran.r-project.org/web/views/Optimization.html
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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.
>
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>
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