MRHawkes-package: Multivariate Renewal Hawkes Process
In MRHawkes: Multivariate Renewal Hawkes Process

Description Details Author(s) References

Simulate the (bivariate) multivariate renewal Hawkes (MRHawkes) process with a given distribution for the two waiting times between immigrants, given offspring density functions, and also the branching ratios. Calculation of the likelihood of a MRHawkes process model with a given sequence of (distinct) event times and labels up to a censoring time. Calculate the Rosenblatt residuals of fitting an MRHawkes process model to a sequence of event times and labels. Calculate the (filtering) distribution of the index of the most recent immigrant. Predict the time of the next event since the censoring time. Predict event times from the censoring time to a future time point.

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Tom Stindl <t.stindl@unsw.edu.au> Feng Chen <feng.chen@unsw.edu.au>

Chen, F. and Stindl, T. (2017). Direct Likelihood Evaluation for the Renewal Hawkes Process. Journal of Computational and Graphical Statistics.

Stindl, T. & Chen, F. (2018). Likelihood based inference for the multivariate renewal Hawkes process. Computational Statistics and Data Analysis.

Wheatley, S., Filimonov, V., and Sornette, D. (2016) The Hawkes process with renewal immigration & its estimation with an EM algorithm. Computational Statistics and Data Analysis. 94: 120-135.

MRHawkes documentation built on May 2, 2019, 2:51 p.m.