NEWS.md

In ksublee/emhawkes: Exponential Multivariate Hawkes Model

emhawkes 0.9.7

Fixed some bugs, improved efficiency in this version and several features have been added.

Breaking changes

• The lambda0 argument name used in previous versions has been changed to lambda_component0 in this version. This is to clearly indicate the meaning of the argument and to avoid confusion.

• The name of method vol is changed to hvol and this feature is currently experimental.

• The Vignette file contains more examples and explanations.

emhawkes 0.9.6

Fixed some bugs, improved efficiency in this version and several features have been added.

Breaking changes

• Slot eta is introduced which represents the constant part of impact.

• The concepts of rambda and rambda_component are introduced. They are closely related to the right-continuous version of the intensity process.

• For inference of intensity and goodness of fit, infer_lambda and residual_process functions are implemented.

• The method vol to measure the volatility is introduced and this feature is currently experimental.

ksublee/emhawkes documentation built on Feb. 2, 2023, 12:36 p.m.