RHawkes-package: Renewal Hawkes Process

In RHawkes: Renewal Hawkes Process

Renewal Hawkes Process

Description

The renewal Hawkes (RHawkes) process (Wheatley, Filimonov, and Sornette, 2016 <doi:10.1016/j.csda.2015.08.007>) is an extension to the classical Hawkes self-exciting point process widely used in the modelling of clustered event sequence data. This package provides functions to simulate the RHawkes process with a given immigrant hazard rate function and offspring birth time density function, to compute the exact likelihood of a RHawkes process using the recursive algorithm proposed by Chen and Stindl (2018) <doi:10.1080/10618600.2017.1341324>, to compute the Rosenblatt residuals for goodness-of-fit assessment, and to predict future event times based on observed event times up to a given time. A function implementing the linear time RHawkes process likelihood approximation algorithm proposed in Stindl and Chen (2021) <doi:10.1007/s11222-021-10002-0> is also included.

Details

The DESCRIPTION file: This package was not yet installed at build time.
Index: This package was not yet installed at build time.

Author(s)

Feng Chen [aut, cre] (<https://orcid.org/0000-0002-9646-3338>), Tom Stindl [ctb] (<https://orcid.org/0000-0001-8627-9337>)

Maintainer: Feng Chen <[e-mail]>

RHawkes documentation built on May 5, 2022, 5:06 p.m.