RHawkes: Renewal Hawkes Process

Simulate a renewal Hawkes (RHawkes) self-exciting process, with a given immigrant hazard rate function and offspring density function. Calculate the likelihood of a RHawkes process with given hazard rate function 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 Chen and Stindl (2017) <doi:10.1080/10618600.2017.1341324>.

Package details

AuthorFeng Chen <[email protected]> Thomas Stindl <[email protected]>
MaintainerFeng Chen <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RHawkes documentation built on May 2, 2019, 6:46 a.m.