IHSEP: Inhomogeneous Self-Exciting Process

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (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: 0.0
Imports: lpint, Rcpp
LinkingTo: Rcpp
Published: 2016-08-18
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_0.0.tar.gz
Windows binaries: r-devel: IHSEP_0.0.zip, r-release: IHSEP_0.0.zip, r-oldrel: IHSEP_0.0.zip
OS X Mavericks binaries: r-release: IHSEP_0.0.tgz, r-oldrel: IHSEP_0.0.tgz


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