RHawkes-package

RHawkes

 package

 Hawkes process 

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.

RHawkes-package: RHawkes

Description

Arguments

Details