IHSEP: Inhomogeneous Self-Exciting Process

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (possibly time-varying) baseline intensity and an excitation function. Calculate the likelihood of an IHSEP with given baseline intensity and excitation functions for an (increasing) sequence of event times. Calculate the point process residuals (integral transforms of the original event times). Calculate the mean intensity process.

Version: 0.3.1
Imports: lpint, Rcpp
LinkingTo: Rcpp
Published: 2022-09-16
DOI: 10.32614/CRAN.package.IHSEP
Author: Feng Chen
Maintainer: Feng Chen <feng.chen at unsw.edu.au>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: IHSEP citation info
CRAN checks: IHSEP results


Reference manual: IHSEP.pdf


Package source: IHSEP_0.3.1.tar.gz
Windows binaries: r-devel: IHSEP_0.3.1.zip, r-release: IHSEP_0.3.1.zip, r-oldrel: IHSEP_0.3.1.zip
macOS binaries: r-release (arm64): IHSEP_0.3.1.tgz, r-oldrel (arm64): IHSEP_0.3.1.tgz, r-release (x86_64): IHSEP_0.3.1.tgz, r-oldrel (x86_64): IHSEP_0.3.1.tgz
Old sources: IHSEP archive

Reverse dependencies:

Reverse depends: MRHawkes, RHawkes


Please use the canonical form https://CRAN.R-project.org/package=IHSEP to link to this page.