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.


Reference manual

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0.2 by Feng Chen, 5 months ago

Browse source code at

Authors: Feng Chen <[email protected]>

Documentation:   PDF Manual  

GPL (>= 2) license

Imports lpint, Rcpp

Linking to Rcpp

Depended on by MRHawkes, RHawkes.

See at CRAN