RHawkes
Renewal 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.
- Version1.0
- R version≥ 2.10
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- RHawkes citation info
- Last release05/05/2022
Team
Feng Chen
Tom Stindl
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Last 30 days
This package has been downloaded 140 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 1 times.
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Last 365 days
This package has been downloaded 1,943 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Jul 10, 2024 with 25 downloads.
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Dependencies
- Depends1 package