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emhawkes

emhawkes specifies, simulates, and fits exponential Hawkes models, including marked, state-dependent, and multi-kernel models.

Installation

Install the CRAN release:

install.packages("emhawkes")

For the development version and the features described in the guides:

# install.packages("remotes")
remotes::install_github("ksublee/emhawkes")

Source installation requires a C++ compiler and Rcpp; on Windows, install Rtools.

Quick start

This example requires version 1.0.0 or later.

library(emhawkes)

h <- new("hspec", mu = 0.3, alpha = 1.2, beta = 1.5)
set.seed(1107)
path <- hsim(h, size = 1000)
fit <- hfit(h, inter_arrival = path$inter_arrival, optimizer = "stats")
summary(fit)

hsim() returns an hreal path. The example uses R’s optimizers and returns an emhawkes_stats_fit. By default, hfit() uses the optional maxLik package and returns a maxLik fit; install it with install.packages("maxLik") to use that provider. The first path row is the initial state, so size includes that row.

Simulation and fitting default to lambda_component0 = "auto" and report the selected initialization. Supported stable constant linear models use mean intensity components; other models use zero components and recommend supplying an initial state. These components exclude the baseline intensity.

Documentation

• Get started: the basic workflow, input data and a first diagnostic.
• Fitting and inference: parameter sharing, initial states, fitted models, residuals and standard errors.
• Extended examples: marked, state-dependent, multi-kernel and flexible residual models.
• Computation: R/C++ engines, gradients, Jacobians and performance.
• Reference and News: function details and version changes.

The basic vignette is also available in R with vignette("example", package = "emhawkes"). The website is built from this repository; the version in its header identifies the documented package.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.