Merge 73d75b9 into bd2330c

Manifest.toml

@@ -28,9 +28,9 @@ version = "1.3.0"
 
 [[DataStructures]]
 deps = ["InteractiveUtils", "OrderedCollections"]
-git-tree-sha1 = "7d7578b00789cf16c5f68fad71868e773edd58a2"
+git-tree-sha1 = "edad9434967fdc0a2631a65d902228400642120c"
 uuid = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
-version = "0.17.16"
+version = "0.17.19"
 
 [[Dates]]
 deps = ["Printf"]
@@ -42,15 +42,15 @@ uuid = "8ba89e20-285c-5b6f-9357-94700520ee1b"
 
 [[Distributions]]
 deps = ["FillArrays", "LinearAlgebra", "PDMats", "Printf", "QuadGK", "Random", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns"]
-git-tree-sha1 = "c4ed10355637fcb0725dc6a27060f74df24f13cd"
+git-tree-sha1 = "78c4c32a2357a00a0a7d614880f02c2c6e1ec73c"
 uuid = "31c24e10-a181-5473-b8eb-7969acd0382f"
-version = "0.23.2"
+version = "0.23.4"
 
 [[FillArrays]]
 deps = ["LinearAlgebra", "Random", "SparseArrays"]
-git-tree-sha1 = "6c89d5b673e59b8173c546c84127e5f623d865f6"
+git-tree-sha1 = "be4180bdb27a11188d694ee3773122f4921f1a62"
 uuid = "1a297f60-69ca-5386-bcde-b61e274b549b"
-version = "0.8.9"
+version = "0.8.13"
 
 [[InteractiveUtils]]
 deps = ["Markdown"]
@@ -82,9 +82,9 @@ version = "0.4.3"
 
 [[OpenBLAS_jll]]
 deps = ["CompilerSupportLibraries_jll", "Libdl", "Pkg"]
-git-tree-sha1 = "1887096f6897306a4662f7c5af936da7d5d1a062"
+git-tree-sha1 = "0c922fd9634e358622e333fc58de61f05a048492"
 uuid = "4536629a-c528-5b80-bd46-f80d51c5b363"
-version = "0.3.9+4"
+version = "0.3.9+5"
 
 [[OpenSpecFun_jll]]
 deps = ["CompilerSupportLibraries_jll", "Libdl", "Pkg"]
@@ -93,9 +93,9 @@ uuid = "efe28fd5-8261-553b-a9e1-b2916fc3738e"
 version = "0.5.3+3"
 
 [[OrderedCollections]]
-git-tree-sha1 = "12ce190210d278e12644bcadf5b21cbdcf225cd3"
+git-tree-sha1 = "293b70ac1780f9584c89268a6e2a560d938a7065"
 uuid = "bac558e1-5e72-5ebc-8fee-abe8a469f55d"
-version = "1.2.0"
+version = "1.3.0"
 
 [[PDMats]]
 deps = ["Arpack", "LinearAlgebra", "SparseArrays", "SuiteSparse", "Test"]
@@ -113,9 +113,9 @@ uuid = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 
 [[QuadGK]]
 deps = ["DataStructures", "LinearAlgebra"]
-git-tree-sha1 = "dc84e810393cfc6294248c9032a9cdacc14a3db4"
+git-tree-sha1 = "0ab8a09d4478ebeb99a706ecbf8634a65077ccdc"
 uuid = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
-version = "2.3.1"
+version = "2.4.0"
 
 [[REPL]]
 deps = ["InteractiveUtils", "Markdown", "Sockets"]
@@ -133,9 +133,9 @@ version = "0.6.1"
 
 [[Rmath_jll]]
 deps = ["Libdl", "Pkg"]
-git-tree-sha1 = "1660f8fefbf5ab9c67560513131d4e933012fc4b"
+git-tree-sha1 = "d76185aa1f421306dec73c057aa384bad74188f0"
 uuid = "f50d1b31-88e8-58de-be2c-1cc44531875f"
-version = "0.2.2+0"
+version = "0.2.2+1"
 
 [[SHA]]
 uuid = "ea8e919c-243c-51af-8825-aaa63cd721ce"

Project.toml

@@ -9,6 +9,6 @@ StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [compat]
-StatsBase = "0.33"
 Distributions = "0.23"
+StatsBase = "0.33"
 julia = "1"

src/intensity.jl

@@ -23,6 +23,12 @@ function intensity(ts::Array{<:Number, 1}, events::Array{<:Number, 1}, backgroun
   return output
 end
 
+function intensity(ts::Array{<:Number, 1}, events::Array{<:Number, 1}, background, kappa::Float64, kernel::Distributions.Distribution)
+  kernel_pdf, kernel_cdf = generate_kernel_functions(kernel)
+  intensity(ts, events, background, kappa, kernel_pdf)
+end
+
+
 function intensity(ts::Number, events::Array{<:Number, 1},
                    background::Number, kappa::Float64, kernel::Function)
   bgContrib = background
@@ -37,7 +43,7 @@ end
 
 function kernel_contribution(ts::Number, events::Array{<:Number, 1}, kappa::Float64, kernel::Function)
   evalEvents = events[events .< ts]
-  s = zero(ts)
+  s::Number = zero(ts)
   if !isempty(evalEvents)
     kernEval::Array{Number, 1} = kernel.(ts .- evalEvents)
     s = kappa * sum(kernEval)

src/likelihood.jl

@@ -5,7 +5,11 @@ Calculate the log likelihood of a Hawkes process for given parameters.
 
 # Arguments
 
-
+* `events` Vector of events to calculate the likelihood for. 
+* `background` Background rate. 
+* `kappa` Kappa parameter.
+* `kernel` Function or distribution of the kernel.
+* `maxT` Maximum time of the process. 
 
 # Notes
 

src/simulate.jl

@@ -44,6 +44,11 @@ function simulate(bg::Number, kappa::Float64, kern::Function, maxT::Number)
     sort(allevents)
 end
 
+function simulate(bg::Number, kappa::Float64, kernD::Distributions.Distribution, maxT::Number)
+    kern, kern_cdf = generate_kernel_functions(kernD)
+    return simulate(bg, kappa, kern, maxT)
+end
+
 function poisson_simulation(rate::Number, maxT::Number)
     nevents = rand(Distributions.Poisson(rate*maxT))
     event_times = sort(rand(Distributions.Uniform(0, maxT), nevents))

test/intensity_test.jl

@@ -15,5 +15,17 @@
         @test HawkesProcesses.intensity(testEvents, testEvents, bg, kappa, kern) ≈ [bg, bg + kappa * kern(1), bg + kappa * kern(1) + kappa * kern(2)] atol=0.01
     end
 
+    @testset "Distribution Intensity" begin
+        bg = 0.5
+        kappa = 0.5
+        kern = Distributions.Exponential(1/0.5)
+        testEvents = [1, 2, 3]
+        inferTests && @inferred HawkesProcesses.intensity(0, testEvents, bg, kappa, kern)
+
+        int = HawkesProcesses.intensity([1,2,3], testEvents, bg, kappa, kern)
+        @test length(int) == 3
+
+    end
+
 
 end

test/likelihood_test.jl

@@ -0,0 +1,11 @@
+
+@testset "Likelihood" begin
+
+    kernD = Distributions.Exponential(1/0.5)
+    bg = 0.5
+    kappa = 0.5 
+    l = HawkesProcesses.likelihood(sort(rand(10)), bg, kappa, kernD, 1)
+
+    @test length(l) == 1
+    inferTests && @inferred HawkesProcesses.likelihood(sort(rand(10)), bg, kappa, kernD, 1)
+end

test/parent_probabilites_test.jl

@@ -10,5 +10,14 @@
         @test testProbs[1] == bg
     end
 
+    @testset "Full" begin
+
+        inferTests && @inferred HawkesProcesses.parent_probs(sort(rand(100)), bg, kappa, kern)
+        pp = HawkesProcesses.parent_probs(sort(rand(100)), bg, kappa, kern)
+
+        @test length(pp) == 100
+
+    end
+
 
 end

test/runtests.jl

@@ -2,7 +2,7 @@ using HawkesProcesses
 using Distributions
 using Test
 
-inferTests = false
+inferTests = Bool(parse(Int64, get(ENV, "INFER_TESTS", "1")))
 
 my_tests = ["event_difference_test.jl",
             "parent_probabilites_test.jl",
@@ -11,7 +11,9 @@ my_tests = ["event_difference_test.jl",
             "simulate_test.jl",
             "intensity_test.jl",
             "compensator_test.jl",
-            "time_change_test.jl"]
+            "time_change_test.jl",
+            "likelihood_test.jl",
+            "test_utils.jl"]
 
 println("Running tests: ")
 

test/simulate_test.jl

@@ -6,13 +6,21 @@ using Distributions
         inferTests && @inferred HawkesProcesses.poisson_simulation(0.5, 10)
         inferTests && @inferred HawkesProcesses.poisson_simulation(x->x, 10)
     end
-    @testset "Hawkes Simulation" begin
+    @testset "Hawkes Simulation with Kernel Function" begin
         kern(x) = pdf.(Distributions.Exponential(1/0.5), x)
         testevents = HawkesProcesses.simulate(0.5, 0.5, kern, 10)
 
         @test length(testevents) > 0
-
         inferTests && @inferred HawkesProcesses.simulate(0.5, 0.5, kern, 100)
     end
 
+    @testset "Hawkes Simulation with Distribution" begin
+        kernD = Distributions.Exponential(1/0.5)
+        testevents = HawkesProcesses.simulate(0.5, 0.5, kernD, 10)
+
+        @test length(testevents) > 0
+        inferTests && @inferred HawkesProcesses.simulate(0.5, 0.5, kernD, 100)
+    end
+
+
 end

test/test_utils.jl

@@ -0,0 +1,9 @@
+@testset "Utility Tests" begin
+
+    @testset "Kernel Generating Functions" begin 
+        res = HawkesProcesses.generate_kernel_functions(Exponential())
+        inferTests && @inferred HawkesProcesses.generate_kernel_functions(Exponential())
+        @test length(res) == 2
+    end
+
+end