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.
| Version: |
1.0 |
| Depends: |
R (≥ 2.10), IHSEP |
| Published: |
2022-05-05 |
| Author: |
Feng Chen  [aut,
cre],
Tom Stindl [ctb] |
| Maintainer: |
Feng Chen <feng.chen at unsw.edu.au> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| Citation: |
RHawkes citation info |
| CRAN checks: |
RHawkes results |
Documentation:
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