Inhomogeneous Self-Exciting Process

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Documentation for package ‘IHSEP’ version 0.3.1

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IHSEP-package Inhomogeneous Self-exciting Process
asep An IHSEP data set
conv.seq Sequence convolution conv.seq calculates the convolution of two sequences
h.fn Mean Intensity Function of the Self-Exciting Point Process
h.fn.exp Mean Intensity of the Self-Exciting Point Process With an Exponential Excitation Function
IHSEP Inhomogeneous Self-exciting Process
mloglik0 Minus loglikelihood of an IHSEP model
mloglik1a Minus loglikelihood of an IHSEP model
mloglik1b Minus loglikelihood of an IHSEP model
mloglik1c Minus loglikelihood of an IHSEP model
mloglik1d Minus loglikelihood of an IHSEP model
mloglik1e Minus loglikelihood of an IHSEP model
sepp.resid Calculate the self exciting point process residuals
simchildren Simulate the child events 'simchildren' simulates the birth times of all child events spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for offspring events and is not meant for external use.
simHawkes0 Simulate a Hawkes process, or Self-exciting point process
simHawkes1 Simulate a Hawkes process, or Self-exciting point process
simHawkes1a Simulate an (inhomogeneous) Hawkes self-exciting process 'simHawkes1a' simulates the event times of an inhomogeneous Hawkes process (IHSEP) with background event intensity/rate nu(\cdot)>=q 0, branching ratio eta\in[0,1), and offspring birthtime density g(\cdot), up to a censoring time T.
simoffspring Simulate the offspring events 'simoffspring' simulates the birth times of offspring events of all generations spawned from an event relative the birth time of the parent event. This function is to be called by the simulator function for Hawkes processes and is not meant for external use.
simPois Simulate a Poisson process
simPois0 Simulate a Poisson process