Record Class HawkesIntensity.Fit

java.lang.Object
java.lang.Record
com.quantfinlib.microstructure.HawkesIntensity.Fit
Record Components:
baselineRatePerSec - μ
excitation - α, intensity jump per event (per second)
decayPerSec - β
logLikelihood - ℓ at the optimum
converged - simplex converged within the iteration cap
Enclosing class:
HawkesIntensity
public static record HawkesIntensity.Fit(double baselineRatePerSec, double excitation, double decayPerSec, double logLikelihood, int events, boolean converged) extends Record
A maximum-likelihood calibration.

  • Constructor Details

    • Fit

      public Fit(double baselineRatePerSec, double excitation, double decayPerSec, double logLikelihood, int events, boolean converged)
      Creates an instance of a Fit record class.
      Parameters:
      baselineRatePerSec - the value for the baselineRatePerSec record component
      excitation - the value for the excitation record component
      decayPerSec - the value for the decayPerSec record component
      logLikelihood - the value for the logLikelihood record component
      events - the value for the events record component
      converged - the value for the converged record component

  • Method Details

    • branchingRatio

      public double branchingRatio()
      α/β: expected direct children per event.

    • halfLifeNanos

      public long halfLifeNanos()
      Excitation half-life ln 2 / β in nanoseconds.

    • toModel

      public HawkesIntensity toModel()
      A streaming model with the fitted parameters.

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • baselineRatePerSec

      public double baselineRatePerSec()
      Returns the value of the baselineRatePerSec record component.
      Returns:
      the value of the baselineRatePerSec record component

    • excitation

      public double excitation()
      Returns the value of the excitation record component.
      Returns:
      the value of the excitation record component

    • decayPerSec

      public double decayPerSec()
      Returns the value of the decayPerSec record component.
      Returns:
      the value of the decayPerSec record component

    • logLikelihood

      public double logLikelihood()
      Returns the value of the logLikelihood record component.
      Returns:
      the value of the logLikelihood record component

    • events

      public int events()
      Returns the value of the events record component.
      Returns:
      the value of the events record component

    • converged

      public boolean converged()
      Returns the value of the converged record component.
      Returns:
      the value of the converged record component