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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>.
Getting started
Browse package contents
Package details |
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| Author | Tom Stindl and Feng Chen |
| Maintainer | Tom Stindl <t.stindl@unsw.edu.au> |
| License | GPL (>= 2) |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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