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X-DataInitiative / tick

Module for statistical learning, with a particular emphasis on time-dependent modelling
https://x-datainitiative.github.io/tick/
BSD 3-Clause "New" or "Revised" License
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Goodness-of-fit diagnostics for Hawkes EM algorithm #507

Closed claudio-tw closed 1 year ago

claudio-tw commented 1 year ago

This PR proposes to add new methods to the class HawkesEM, and to expand goodness-of-fit diagnostics for the expectation-maximisation algorithm. The key capability is the computation of compensators of Hawkes processes, defined as time-integrals of the conditional intensity functions. (Notice that "compensator" is also used to refer to a subroutine in the calibration routine, but no confusion should arise).
This PR also introduces google tests for the class HawkesEM.

claudio-tw commented 1 year ago

@PhilipDeegan Do you know why the build on Ubuntu is failing?

PhilipDeegan commented 1 year ago

consider rebasing https://github.com/X-DataInitiative/tick/pull/510, with that we can see if all the builds fail the same wya