| MRHawkes-package {MRHawkes} | R Documentation |
Multivariate Renewal Hawkes Process
Description
Simulate the (bivariate) multivariate renewal Hawkes (MRHawkes) process with a given distribution for the two waiting times between immigrants, given offspring density functions, and also the branching ratios. Calculation of the likelihood of a MRHawkes process model with a given sequence of (distinct) event times and labels up to a censoring time. Calculate the Rosenblatt residuals of fitting an MRHawkes process model to a sequence of event times and labels. Calculate the (filtering) distribution of the index of the most recent immigrant. Predict the time of the next event since the censoring time. Predict event times from the censoring time to a future time point.
Details
The DESCRIPTION file:
| Package: | MRHawkes |
| Type: | Package |
| Title: | Multivariate Renewal Hawkes Process |
| Version: | 1.0 |
| Date: | 2018-08-15 |
| Author: | Tom Stindl and Feng Chen |
| Maintainer: | Tom Stindl <t.stindl@unsw.edu.au> |
| Description: | Simulate a (bivariate) multivariate renewal Hawkes (MRHawkes) self-exciting process, with given immigrant hazard rate functions and offspring density function. Calculate the likelihood of a MRHawkes process with given hazard rate functions and offspring density function for an (increasing) sequence of event times. Calculate the Rosenblatt residuals of the event times. Predict future event times based on observed event times up to a given time. For details see Stindl and Chen (2018) <doi:10.1016/j.csda.2018.01.021>. |
| License: | GPL (>=2) |
| Depends: | IHSEP, stats |
| NeedsCompilation: | no |
| Packaged: | 2016-11-04 12:35:53 UTC; z3376311 |
Index of help topics:
MRHawkes Multivariate Renewal Hawkes Process
TmllMRH Minus loglikelihood of an (bivariate) MRHawkes
model with truncated most recent immigrant
probabilities
fivaqks Fiji and Vanuatu Earthquake Data
mllMRH Minus loglikelihood of an (bivariate) MRHawkes
model
mllMRH1 Minus loglikelihood of an (bivariate) MRHawkes
model with most recent immigrant probabilities
mllMRH2 Minus loglikelihood of an (bivariate) MRHawkes
model with Rosenblatt residuals
predDen MRHawkes (bivariate) predictive density
function
simMRHawkes Simulate an (bivariate) renewal Hawkes
(MRHawkes) process
simNSMHP Simulate a (bivariate) non-stationary
multivariate Hawkes process (NSMHP)
simpred Simulate a fitted (bivariate) MRHawkes process
model
typeRes Minus loglikelihood of an (bivariate) MRHawkes
model with Universal residuals
Author(s)
Tom Stindl <t.stindl@unsw.edu.au> Feng Chen <feng.chen@unsw.edu.au>
References
Chen, F. and Stindl, T. (2017). Direct Likelihood Evaluation for the Renewal Hawkes Process. Journal of Computational and Graphical Statistics.
Stindl, T. & Chen, F. (2018). Likelihood based inference for the multivariate renewal Hawkes process. Computational Statistics and Data Analysis.
Wheatley, S., Filimonov, V., and Sornette, D. (2016) The Hawkes process with renewal immigration & its estimation with an EM algorithm. Computational Statistics and Data Analysis. 94: 120-135.