sepp.resid

Calculate the self exciting point process residuals

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.

Feng Chen

IHSEP

Inhomogeneous Self-Exciting Process

sepp.resid function

<dl><dt>jtms</dt>
<dd>A numerical vector containing the event times of the SEPP in ascending order</dd>
<dt>Tau</dt>
<dd>A numerical scalar giving the censoring time, which should be greater than or equal to the event time</dd>
<dt>Inu</dt>
<dd>A function that gives the integral of the baseline event rate function \(\nu(t)\) from 0 to the argument of the function</dd>
<dt>Ig</dt>
<dd>A function that gives the integral of the excitation function \(g(t)\) from 0 to the argument of the function</dd></dl>

Arguments

Calculate the self exciting point process residuals — sepp.resid

<dl>

<dt>jtms</dt>
<dd>A numerical vector containing the event times of the SEPP in ascending order</dd>


<dt>Tau</dt>
<dd>A numerical scalar giving the censoring time, which should be greater than or equal to the event time</dd>


<dt>Inu</dt>
<dd>A function that gives the integral of the baseline event rate function \(\nu(t)\) from 0 to the argument of the function</dd>


<dt>Ig</dt>
<dd>A function that gives the integral of the excitation function \(g(t)\) from 0 to the argument of the function</dd>

</dl>

sepp.resid: Calculate the self exciting point process residuals

Description

Usage

Value

Arguments