Learn R Programming

IHSEP (version 0.3.1)

Inhomogeneous Self-Exciting Process

Description

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (possibly time-varying) baseline intensity and an excitation function. Calculate the likelihood of an IHSEP with given baseline intensity and excitation functions for an (increasing) sequence of event times. Calculate the point process residuals (integral transforms of the original event times). Calculate the mean intensity process.

Copy Link

Version

Install

install.packages('IHSEP')

Monthly Downloads

184

Version

0.3.1

License

GPL (>= 2)

Maintainer

Feng Chen

Last Published

September 16th, 2022

Functions in IHSEP (0.3.1)

mloglik0

Minus loglikelihood of an IHSEP model
h.fn

Mean Intensity Function of the Self-Exciting Point Process
simPois0

Simulate a Poisson process
simchildren

Simulate the child events simchildren simulates the birth times of all child events spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for offspring events and is not meant for external use.
simoffspring

Simulate the offspring events simoffspring simulates the birth times of offspring events of all generations spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for Hawkes processes and is not meant for external use.
sepp.resid

Calculate the self exciting point process residuals
asep

An IHSEP data set
mloglik1e

Minus loglikelihood of an IHSEP model
simHawkes1a

Simulate an (inhomogeneous) Hawkes self-exciting process simHawkes1a simulates the event times of an inhomogeneous Hawkes process (IHSEP) with background event intensity/rate \(nu(\cdot)\geq 0\), branching ratio \(\eta\in[0,1)\), and offspring birthtime density \(g(\cdot)\), up to a censoring time \(T\).
mloglik1a

Minus loglikelihood of an IHSEP model
simPois

Simulate a Poisson process
simHawkes0

Simulate a Hawkes process, or Self-exciting point process
mloglik1b

Minus loglikelihood of an IHSEP model
simHawkes1

Simulate a Hawkes process, or Self-exciting point process
conv.seq

Sequence convolution conv.seq calculates the convolution of two sequences
IHSEP-package

Inhomogeneous Self-exciting Process
h.fn.exp

Mean Intensity of the Self-Exciting Point Process With an Exponential Excitation Function
mloglik1d

Minus loglikelihood of an IHSEP model
mloglik1c

Minus loglikelihood of an IHSEP model