IHSEP: Inhomogeneous Self-Exciting Process

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (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.

Author
Feng Chen <feng.chen@unsw.edu.au>
Date of publication
2016-08-18 10:02:17
Maintainer
Feng Chen <feng.chen@unsw.edu.au>
License
GPL (>= 2)
Version
0.0

View on CRAN

Man pages

asep
An IHSEP data set
conv.seq
Sequence convolution conv.seq calculates the convolution of...
h.fn
Mean Intensity Function of the Self-Exciting Point Process...
h.fn.exp
Mean Intensity of the Self-Exciting Point Process With an...
IHSEP-package
Inhomogeneous Self-exciting Process
mloglik0
Minus loglikelihood of an IHSEP model
mloglik1a
Minus loglikelihood of an IHSEP model
mloglik1b
Minus loglikelihood of an IHSEP model
mloglik1c
Minus loglikelihood of an IHSEP model
mloglik1d
Minus loglikelihood of an IHSEP model
mloglik1e
Minus loglikelihood of an IHSEP model
sepp.resid
Calculate the self exciting point process residuals
simHawkes0
Simulate a Hawkes process, or Self-exciting point process
simHawkes1
Simulate a Hawkes process, or Self-exciting point process
simPois
Simulate a Poisson process
simPois0
Simulate a Poisson process

Files in this package

IHSEP
IHSEP/inst
IHSEP/inst/CITATION
IHSEP/src
IHSEP/src/mloglik1e.cpp
IHSEP/src/mloglik1c.cpp
IHSEP/src/mloglik1d.cpp
IHSEP/src/mloglik.c
IHSEP/src/RcppExports.cpp
IHSEP/NAMESPACE
IHSEP/data
IHSEP/data/asep.rda
IHSEP/R
IHSEP/R/mloglik1a.R
IHSEP/R/mloglik0.R
IHSEP/R/mint.R
IHSEP/R/simPois.R
IHSEP/R/simHawkes0.R
IHSEP/R/simPois0.R
IHSEP/R/mloglik1b.R
IHSEP/R/RcppExports.R
IHSEP/R/sepp.resid.R
IHSEP/R/simHawkes1.R
IHSEP/MD5
IHSEP/DESCRIPTION
IHSEP/man
IHSEP/man/simPois.Rd
IHSEP/man/asep.Rd
IHSEP/man/mloglik1e.Rd
IHSEP/man/conv.seq.Rd
IHSEP/man/simPois0.Rd
IHSEP/man/mloglik1a.Rd
IHSEP/man/sepp.resid.Rd
IHSEP/man/mloglik1d.Rd
IHSEP/man/simHawkes1.Rd
IHSEP/man/h.fn.Rd
IHSEP/man/mloglik1b.Rd
IHSEP/man/mloglik0.Rd
IHSEP/man/IHSEP-package.Rd
IHSEP/man/mloglik1c.Rd
IHSEP/man/h.fn.exp.Rd
IHSEP/man/simHawkes0.Rd