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
DOI: 10.32614/CRAN.package.MRHawkes
Author: Tom Stindl and Feng Chen
Maintainer: Tom Stindl <t.stindl at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: MRHawkes results


Reference manual: MRHawkes.pdf


Package source: MRHawkes_1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): MRHawkes_1.0.tgz, r-oldrel (arm64): MRHawkes_1.0.tgz, r-release (x86_64): MRHawkes_1.0.tgz, r-oldrel (x86_64): MRHawkes_1.0.tgz


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