MRHawkes: Multivariate Renewal Hawkes Process
Simulate a (bivariate) multivariate renewal Hawkes (MRHawkes)
self-exciting process, with given immigrant hazard rate functions and
offspring density function. Calculate the likelihood of a MRHawkes process
with given hazard rate functions and offspring density function for an
(increasing) sequence of event times. Calculate the Rosenblatt residuals of the
event times. Predict future event times based on observed event times up to a
given time. For details see Stindl and Chen (2018) <doi:10.1016/j.csda.2018.01.021>.
| Version: |
1.0 |
| Depends: |
IHSEP, stats |
| Published: |
2018-08-20 |
| Author: |
Tom Stindl and Feng Chen |
| Maintainer: |
Tom Stindl <t.stindl at unsw.edu.au> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| CRAN checks: |
MRHawkes results |
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