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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "IHSEP" in publications use:'
type: software
license: GPL-2.0-or-later
title: 'IHSEP: Inhomogeneous Self-Exciting Process'
version: 0.3.1
identifiers:
- type: doi
  value: 10.32614/CRAN.package.IHSEP
abstract: 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.
authors:
- family-names: Chen
  given-names: Feng
  email: feng.chen@unsw.edu.au
preferred-citation:
  type: article
  title: Inference for a non-stationary self-exciting point process with an application
    in ultra-high frequency financial data modeling
  authors:
  - family-names: Chen
    given-names: Feng
    email: feng.chen@unsw.edu.au
  - family-names: Hall
    given-names: Peter
  journal: Journal of Applied Probability
  volume: '50'
  issue: '4'
  year: '2013'
  start: 1006-1024
repository: https://fchenunswms.r-universe.dev
commit: ced9dcbf0a91ea43091eeacc02264145a5361d68
date-released: '2022-09-16'
contact:
- family-names: Chen
  given-names: Feng
  email: feng.chen@unsw.edu.au
references:
- type: article
  title: Nonparametric Estimation for Self-Exciting Point Processes -- A Parsimonious
    Approach
  authors:
  - family-names: Chen
    given-names: Feng
  - family-names: Hall
    given-names: Peter
  journal: Journal of Computational and Graphical Statistics
  volume: '25'
  issue: '1'
  year: '2016'
  start: 209-224
- type: manual
  title: 'IHSEP: Inhomogeneous Self-Exciting Process'
  authors:
  - family-names: Chen
    given-names: Feng
  year: '2021'
  url: https://cran.r-project.org/package=IHSEP
  notes: R package version 0.3.1