dm13450/hawkesprocesses.jl

MCMC Inference for a Hawkes process in Julia

hawkesprocesses.jl's Issues

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Add parametric baseline intensity?

Hi Dean,

This looks like an awesome package and I'm excited to try it out! I'm interested in modeling citations with a Hawkes process where the baseline rate decays according to an exponential kernel as well, Something like:

$\mu_t= \alpha * \exp(-t * \delta) $

Any advice on how I might adapt the code to do something like this? Perhaps without estimating the delta parameter since I assume that complicates things?

Thanks in advance,
Bernie

Is this package under maintenance?

I found this package interesting. I am currently learning the application of hawkes processes on finance, and this one looks like a great place to start.

Online intensity calculation

I have yet to investigate myself, but I'm going to explore an online algorithm for calculating the intensity of an event series.

It should be pretty straightforward I imagine. Is there any objection to adding that to this lib?