IHSEP: Inhomogeneous Self-Exciting Process
Version 0.1

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.

Package details

AuthorFeng Chen <[email protected]>
Date of publication2016-12-05 14:49:21
MaintainerFeng Chen <[email protected]>
LicenseGPL (>= 2)
Version0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("IHSEP")

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IHSEP documentation built on May 29, 2017, 12:07 p.m.