Merge 293f22f into 9d9ef59

README.md

@@ -1,3 +1,7 @@
+[![Build Status](https://travis-ci.org/dm13450/HawkesProcesses.jl.svg?branch=master)](https://travis-ci.org/dm13450/HawkesProcesses.jl)
+
+[![Coverage Status](https://coveralls.io/repos/github/dm13450/HawkesProcesses.jl/badge.svg?branch=master)](https://coveralls.io/github/dm13450/HawkesProcesses.jl?branch=master)
+
 # HawkesProcesses
 
 A Julia package for fitting, analysing and plotting Hawkes processes.

src/HawkesProcesses.jl

@@ -11,8 +11,10 @@ module HawkesProcesses
     include("simulate.jl")
     include("intensity.jl")
     include("likelihood.jl")
+    include("time_change.jl")
+    include("compensator.jl")
     include("utils.jl")
 
-    export HawkesFit, HierarchicalHawkesFit
+    export fit, HierarchicalHawkesFit
 
 end # module

src/compensator.jl

@@ -0,0 +1,3 @@
+function compensator(ts::Number, events::Array{<:Number}, bg::Number, kappa::Number, kern::Distributions.Distribution)
+    bg * ts + kappa * sum(Distributions.cdf.(kern, ts .- events[events .< ts]))
+end

src/time_change.jl

@@ -0,0 +1,28 @@
+
+
+function time_change_null(events::Array{<:Number}, maxT::Number)
+    rate = length(events) / maxT
+    Lambda = rate .* events
+    _time_change(Lambda)
+end
+
+function time_change_hawkes(events::Array{<:Number}, bg::Number, kappa::Number, kern::Distributions.Distribution)
+
+    Lambda = Array{Float64, 1}(undef, length(events))
+
+    for (i, event) in enumerate(events)
+        Lambda[i] = compensator(event, events, bg, kappa, kern)
+    end
+
+    _time_change(Lambda)
+end
+
+function _time_change(Lambda::Array{<:Number})
+
+    tau = diff(Lambda)
+
+    u = 1 .- exp.(-tau)
+    b = (collect(1:length(u)) .- 0.5) / length(u)
+
+    return (b, sort(u))
+end

test/compensator_test.jl

@@ -0,0 +1,14 @@
+@testset "Compensator" begin
+
+    bg = 0.5
+    kappa = 0.5
+    kernD = Distributions.Exponential(1/0.5)
+    events = sort(rand(10))
+
+    testval = HawkesProcesses.compensator(events[1], events, bg, kappa, kernD)
+
+    @test length(testval) == 1
+
+    inferTests && @inferred HawkesProcesses.compensator(events[1], events, bg, kappa, kernD)
+
+end

test/runtests.jl

@@ -9,10 +9,14 @@ my_tests = ["event_difference_test.jl",
             "sample_parents_test.jl",
             "all_constant_hawkes_test.jl",
             "simulate_test.jl",
-            "intensity_test.jl"]
+            "intensity_test.jl",
+            "compensator_test.jl",
+            "time_change_test.jl"]
 
 println("Running tests: ")
 
-for test in my_tests
-    include(test)
-end
+@testset "HawkesProcesses.jl" begin
+    for test in my_tests
+        include(test)
+    end
+end

test/sample_parents_test.jl

@@ -8,7 +8,9 @@
     @testset "Constant Background Rate" begin
         inferTests && @inferred HawkesProcesses.sample_parents([1,2,3], 0.5, 0.5, kernelTest)
 
-        HawkesProcesses.sample_parents([1,2,3], 0.5, 0.5, kernelTest)
+        sp = HawkesProcesses.sample_parents([1,2,3], 0.5, 0.5, kernelTest)
+        @test length(sp) == 4
+        @test length(sp[1]) == 3
     end
 
     @testset "Function Background Rate" begin

test/simulate_test.jl

@@ -8,7 +8,10 @@ using Distributions
     end
     @testset "Hawkes Simulation" begin
         kern(x) = pdf.(Distributions.Exponential(1/0.5), x)
-        testevents = HawkesProcesses.simulate(0.5, 0.5, kern, 1)
+        testevents = HawkesProcesses.simulate(0.5, 0.5, kern, 10)
+
+        @test length(testevents) > 0
+
         inferTests && @inferred HawkesProcesses.simulate(0.5, 0.5, kern, 100)
     end
 

test/time_change_test.jl

@@ -0,0 +1,30 @@
+@testset "Null Time Change" begin
+
+    testEvents = sort(rand(100)*100)
+    null = HawkesProcesses.time_change_null(testEvents, 100)
+
+    @test length(null) == 2
+    inferTests && @inferred HawkesProcesses.time_change_null(testEvents, 100)
+
+end
+
+@testset "Hawkes Time Change" begin
+    bg = 0.5
+    kappa = 0.5
+    kernD = Distributions.Exponential(1/0.5)
+    events = sort(rand(10))
+
+    res = HawkesProcesses.time_change_hawkes(events, bg, kappa, kernD)
+    @test length(res) == 2
+    inferTests && @inferred HawkesProcesses.time_change_hawkes(events, bg, kappa, kernD)
+
+end
+
+@testset "Internal Function" begin
+
+    res = HawkesProcesses._time_change(sort(rand(100)))
+
+    @test length(res) == 2
+    inferTests && @inferred HawkesProcesses._time_change(sort(rand(100)))
+
+end