res: Computes residual waiting times of a Hawkes process.

In peterhalpin/hawkes: EM estimation of multivariate Hawkes process

Computes residual waiting times of a Hawkes process.

Description

Residuals are computed using the time change theorem (see e.g., Daley and Verrra-Jones, 2013, sec. 7.4). If parms is missing, computes residuals for homogeneous Poisson process. To do: Re-write this to work as a default resid method on EM objects.

Usage

res(pp_obj, parms, kernel_type = "dgamma")

Arguments

pp_obj	a pp object.
parms	parameters of the Hawkes process formatted as described for set_parms. If missing, output is for homogeneous Poisson process.
kernel_type	currently only implemented for "dgamma".

Value

A list of length attr(pp_obj, "n_margins"), each component a sorted vector of residual interevent times for the corresponding margin.

peterhalpin/hawkes documentation built on July 2, 2023, 1:04 p.m.