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.

Version: 1.0
Depends: R (≥ 2.10), IHSEP
Published: 2022-05-05
Author: Feng Chen ORCID iD [aut, cre], Tom Stindl ORCID iD [ctb]
Maintainer: Feng Chen <feng.chen at unsw.edu.au>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: RHawkes citation info
CRAN checks: RHawkes results


Reference manual: RHawkes.pdf


Package source: RHawkes_1.0.tar.gz
Windows binaries: r-devel: RHawkes_1.0.zip, r-release: RHawkes_1.0.zip, r-oldrel: RHawkes_1.0.zip
macOS binaries: r-release (arm64): RHawkes_1.0.tgz, r-oldrel (arm64): RHawkes_1.0.tgz, r-release (x86_64): RHawkes_1.0.tgz, r-oldrel (x86_64): RHawkes_1.0.tgz
Old sources: RHawkes archive


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