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>.

Package details

AuthorTom Stindl and Feng Chen
MaintainerTom Stindl <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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MRHawkes documentation built on May 2, 2019, 2:51 p.m.