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.


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install.packages("IHSEP")

0.1 by Feng Chen, 2 years ago


Browse source code at https://github.com/cran/IHSEP


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