RHawkes

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.

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