Package: IHSEP 0.3.1

IHSEP: Inhomogeneous Self-Exciting Process

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (possibly time-varying) baseline intensity and an excitation function. Calculate the likelihood of an IHSEP with given baseline intensity and excitation functions for an (increasing) sequence of event times. Calculate the point process residuals (integral transforms of the original event times). Calculate the mean intensity process.

Authors:Feng Chen <[email protected]>

IHSEP_0.3.1.tar.gz
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IHSEP.pdf |IHSEP.html✨
IHSEP/json (API)

# Install 'IHSEP' in R:
install.packages('IHSEP', repos = c('https://fchenhku.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • asep - An IHSEP data set

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.98 score 2 packages 16 scripts 209 downloads 17 exports 2 dependencies

Last updated 2 years agofrom:ced9dcbf0a. Checks:OK: 4 NOTE: 5. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 26 2024
R-4.5-win-x86_64NOTEOct 26 2024
R-4.5-linux-x86_64NOTEOct 26 2024
R-4.4-win-x86_64NOTEOct 26 2024
R-4.4-mac-x86_64NOTEOct 26 2024
R-4.4-mac-aarch64NOTEOct 26 2024
R-4.3-win-x86_64OKOct 26 2024
R-4.3-mac-x86_64OKOct 26 2024
R-4.3-mac-aarch64OKOct 26 2024

Exports:conv.seqh.fnh.fn.expmloglik0mloglik1amloglik1bmloglik1cmloglik1dmloglik1esepp.residsimchildrensimHawkes0simHawkes1simHawkes1asimoffspringsimPoissimPois0

Dependencies:lpintRcpp

Readme and manuals

Help Manual

Help pageTopics
Inhomogeneous Self-exciting ProcessIHSEP-package IHSEP
An IHSEP data setasep
Sequence convolution conv.seq calculates the convolution of two sequencesconv.seq
Mean Intensity Function of the Self-Exciting Point Processh.fn
Mean Intensity of the Self-Exciting Point Process With an Exponential Excitation Functionh.fn.exp
Minus loglikelihood of an IHSEP modelmloglik0
Minus loglikelihood of an IHSEP modelmloglik1a
Minus loglikelihood of an IHSEP modelmloglik1b
Minus loglikelihood of an IHSEP modelmloglik1c
Minus loglikelihood of an IHSEP modelmloglik1d
Minus loglikelihood of an IHSEP modelmloglik1e
Calculate the self exciting point process residualssepp.resid
Simulate the child events 'simchildren' simulates the birth times of all child events spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for offspring events and is not meant for external use.simchildren
Simulate a Hawkes process, or Self-exciting point processsimHawkes0
Simulate a Hawkes process, or Self-exciting point processsimHawkes1
Simulate an (inhomogeneous) Hawkes self-exciting process 'simHawkes1a' simulates the event times of an inhomogeneous Hawkes process (IHSEP) with background event intensity/rate nu(\cdot)>=q 0, branching ratio eta\in[0,1), and offspring birthtime density g(\cdot), up to a censoring time T.simHawkes1a
Simulate the offspring events 'simoffspring' simulates the birth times of offspring events of all generations spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for Hawkes processes and is not meant for external use.simoffspring
Simulate a Poisson processsimPois
Simulate a Poisson processsimPois0