MRHawkes: Multivariate Renewal Hawkes Process

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>.

Version: 1.0
Depends: IHSEP, stats
Published: 2018-08-20
Author: Tom Stindl and Feng Chen
Maintainer: Tom Stindl <t.stindl at unsw.edu.au>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: MRHawkes results

Downloads:

Reference manual: MRHawkes.pdf
Package source: MRHawkes_1.0.tar.gz
Windows binaries: r-devel: MRHawkes_1.0.zip, r-release: MRHawkes_1.0.zip, r-oldrel: MRHawkes_1.0.zip
OS X binaries: r-release: MRHawkes_1.0.tgz, r-oldrel: MRHawkes_1.0.tgz

Linking:

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