<p>A financial data set containing the mid-price changes of the AUD/USD foreign
exchange rate during the trading week from 20:00:00 GMT on Sunday 19/07/2015 to 
21:00:00 GMT Friday 24/07/2015.</p>

datasets

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.

Feng Chen

RHawkes

Renewal Hawkes Process

Tom Stindl

tms function

<p>The format is a list of the arrival times of mid price changes that occur 
  every hour in 121 non-overlapping windows.</p>

tms: mid-price change times of the AUD/USD exchange rate

Description

Usage

Arguments

Format

Details

Examples