hawkes

An R package for estimating multivariate Hawkes processes. For an example of usage, see http://htmlpreview.github.io/?https://github.com/peterhalpin/hawkes/blob/master/hawkes_eg.html

The package is under development. It currently has limited functionality, incomplete documentation, and does not check for many types of arg formatting errors. So, user beware. Please follow the GNU license for using this code and cite the following article if you use it.

Halpin, P. F., & De Boeck, P. (2013). Modelling Dyadic Interaction with Hawkes Processes. Psychometrika, 78(4), 793–814. http://doi.org/10.1007/s11336-013-9329-1

To Do list

1. standard errors
2. data simulation
3. response kernels other than dgamma
4. linear parameter constraints
5. clean up

Related literature

Brillinger, D. R., Guttorp, P. M., & Schoenberg, F. P. (2002). Point processes, temporal. In A. H. El-Shaarawi & W. W. Piegorsch (Eds.), Encylcopeida of Environmetrics (Vol. 3, pp. 1577–1581). Chichester, England: John Wiley & Sons.

Fox, E. W. (2015). Estimation and Inference for Self-Exciting Point Processes with Applications to Social Networks and Earthquake Seismology [dissertation]. University of Los Angeles.

Halpin, P. F. (2013). A scalable EM algorithm for Hawkes processes. In R. E. Millsap, L. A. van der Ark, D. M. Bolt, & C. M. Woods (Eds.), New Developments in Quantitative Psychology: Proceedings of the 77th International Meeting of the Psychometric Society (pp. 403–414). New York: Springer.

Halpin, P. F., von Davier, A. A., Hao, J., & Liu, L. (2017). Measuring Student Engagement During Collaboration. Journal of Educational Measurement, 54(1), 70–84. http://doi.org/10.1111/jedm.12133

Halpin, P. F., & von Davier, A. A. (2017). Modelling Collaboration Using Point Processes. In A. A. von Davier, P. C. Kyllonen, & M. Zhu (Eds.), Innovative Assessment of Collaboration (pp. 233–247). New York, NY: Springer.

Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83–90. http://doi.org/10.1093/biomet/58.1.83

Hawkes, A. G. (1971). Point spectra of some mutually exciting point processes. Journal of the Royal Statistical Society, Series B, 33(3), 438–443. http://doi.org/10.1073/pnas.0703993104

Hawkes, A. G., & Oakes, D. (1974). A cluster process representation of a self-exciting process. Journal of Applied Probability, 11(3), 493–503.

Liniger, T. (2009). Multivariate Hawkes Processes [dissertation]. Swiss Federal Institute of Technology.

Lapham, B. M. (2014). Hawkes processes and some financial applications [thesis]. University of Cape Town.

Lewis, E., & Mohler, G. (2011). A Nonparametric EM algorithm for Multiscale Hawkes Processes. Journal of Nonparametric Statistics, (1), 1–20.

Rasmussen, J. G. (2013). Bayesian Inference for Hawkes Processes. Methodology and Computing in Applied Probability, 15(3), 623–642. http://doi.org/10.1007/s11009-011-9272-5

Veen, A., & Schoenberg, F. P. (2008). Estimation of Space-Time Branching Process Models in Seismology Using an EM-Type Algorithm. Journal of the American Statistical Association, 103(482), 614–624. http://doi.org/10.1198/016214508000000148