Package: RHawkes 1.0

RHawkes: Renewal Hawkes Process

The renewal Hawkes (RHawkes) process (Wheatley, Filimonov, and Sornette, 2016 <doi:10.1016/j.csda.2015.08.007>) is an extension to the classical Hawkes self-exciting point process widely used in the modelling of clustered event sequence data. This package provides functions to simulate the RHawkes process with a given immigrant hazard rate function and offspring birth time density function, to compute the exact likelihood of a RHawkes process using the recursive algorithm proposed by Chen and Stindl (2018) <doi:10.1080/10618600.2017.1341324>, to compute the Rosenblatt residuals for goodness-of-fit assessment, and to predict future event times based on observed event times up to a given time. A function implementing the linear time RHawkes process likelihood approximation algorithm proposed in Stindl and Chen (2021) <doi:10.1007/s11222-021-10002-0> is also included.

Authors:Feng Chen [aut, cre], Tom Stindl [ctb]

RHawkes_1.0.tar.gz
RHawkes_1.0.zip(r-4.5)RHawkes_1.0.zip(r-4.4)RHawkes_1.0.zip(r-4.3)
RHawkes_1.0.tgz(r-4.4-any)RHawkes_1.0.tgz(r-4.3-any)
RHawkes_1.0.tar.gz(r-4.5-noble)RHawkes_1.0.tar.gz(r-4.4-noble)
RHawkes_1.0.tgz(r-4.4-emscripten)RHawkes_1.0.tgz(r-4.3-emscripten)
RHawkes.pdf |RHawkes.html✨
RHawkes/json (API)

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12 exports 1 stars 0.09 score 3 dependencies 11 scripts 198 downloads

Last updated 2 years agofrom:9a033bc7a3. Checks:OK: 7. Indexed: yes.

Exports:damllRHEM1partialEM2partialmllRHmllRH1mllRH2pred.denpred.hazsim.predsim.pred1simRHawkessimRHawkes1

Dependencies:IHSEPlpintRcpp