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Hawkes Process Estimation
I installed ptproc(1.5.1) library and I tried to run your code 'fit.R', but I got several problems.
At first time, I encountered the problem related to condition
in penalty() function.
I wrote as.character(quote(any(params < 0))))
instead of quote(any(params < 0)))
and I fixed it.
After that, I got another problem.
The error was
> f <- fit(0.5, as.character(trade_times))
Nelder-Mead direct search function minimizer
Error in if (any) returnflag <- alpha :
argument is not interpretable as logical
In addition: Warning message:
In if (is.na(pts)) { :
the condition has length > 1 and only the first element will be used
The traceback was
7. eval(expr, envir, enclos)
6. eval(condition)
5. fn(par, ...)
4. (function (par)
fn(par, ...))(structure(c(0.5, 1, 0.1), .Names = c("mu", "C",
"a")))
3. optim(pstart, optim.logLik, method = method, control = optim.control,
...)
2. ptproc.fit(ppm, optim.control = list(trace = 2), alpha = 1e+05,
hessian = TRUE)
1. fit(0.5, as.character(trade_times))
What should I do to solve this problem?
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