Metadata-Version: 2.1
Name: hawkesbook
Version: 0.1.0
Summary: Hawkes process methods for inference, simulation, and related calculations
Home-page: https://github.com/Pat-Laub/hawkesbook
Author: Patrick Laub
Author-email: patrick.laub@gmail.com
License: MIT
Platform: UNKNOWN
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.7
Classifier: Intended Audience :: Science/Research
Description-Content-Type: text/markdown
Requires-Dist: numba
Requires-Dist: numpy
Requires-Dist: scipy
Requires-Dist: tqdm

# The Python package 'hawkesbook' for Hawkes Process inference, simulation, etc.

To install simply run `pip install hawkesbook`.

This package is meant to accompany the upcoming book _The Elements of Hawkes Processes_ written by Patrick J. Laub, Young Lee, and Thomas Taimre.

It implements inference, simulation, and other related method for Hawkes processes and some mutually-exciting Hawkes processes.

The main design goal for this package was simplicity and readability.
Some functions are JIT-compiled to C and parallelised with `numba` so the computational performance is not completely neglected.
Everything that can be `numpy`-vectorised has been.

Our main dependencies are `numba`, `numpy`, and `scipy` (for the minimize function).

As an example, in the book we have a case study which fits various Hawkes process to the arrival times of earthquakes.
The code for the fitting and analysis of that data is like:

```python
import hawkesbook as hawkes

import numpy as np
import pandas as pd
import scipy.stats as stats
import matplotlib.pyplot as plt
from statsmodels.graphics.gofplots import qqplot

# Load data to fit
quakes = pd.read_csv("japanese-earthquakes.csv")
quakes.index = pd.to_datetime(quakes.Day.astype(str) + "/" + quakes.Month.astype(str) + "/" + quakes.Year.astype(str) + " " + quakes.Time, dayfirst=True)
quakes.sort_index(inplace=True)

# Calculate each arrival as a (fractional) number of days since the
# beginning of the observation period
timeToQuake = quakes.index - pd.Timestamp("1/1/1973")
ts = np.array(timeToQuake.total_seconds() / 60 / 60 / 24)

# Calculate the length of the observation period
obsPeriod = pd.Timestamp("31/12/2020") - pd.Timestamp("1/1/1973")
T = obsPeriod.days

# Calculate the maximum likelihood estimate for the Hawkes process
# with an exponentially decaying intensity
𝛉_exp_mle = hawkes.exp_mle(ts, T)
print("Exp Hawkes MLE fit: ", 𝛉_exp_mle)

# Calculate the EM estimate or the same type of Hawkes process
𝛉_exp_em = hawkes.exp_em(ts, T, iters=100)
print("Exp Hawkes EM fit: ", 𝛉_exp_mle)

# Get the likelihoods of each fit to find the better one
ll_mle = hawkes.exp_log_likelihood(ts, T, 𝛉_exp_mle)
ll_em = hawkes.exp_log_likelihood(ts, T, 𝛉_exp_em)

if ll_mle > ll_em:
	print("MLE was a better fit than EM in this case")
	𝛉_exp = 𝛉_exp_mle
	ll_exp = ll_mle
else:
	print("EM was a better fit than MLE in this case")
	𝛉_exp = 𝛉_exp_em
	ll_exp = ll_em

# Fit instead the Hawkes with a power-law decay
𝛉_pl = hawkes.power_mle(ts, T)
ll_pl = hawkes.power_log_likelihood(ts, T, 𝛉_pl)

# Compare the BICs
BIC_exp = 3 * np.log(len(ts)) - 2 * ll_exp
BIC_pl = 4 * np.log(len(ts)) - 2 * ll_pl
if BIC_exp < BIC_pl:
	print(f"The exponentially-decaying Hawkes was the better fit with BIC={BIC_exp:.2f}.")
	print(f"The power-law Hawkes had BIC={BIC_pl:.2f}.")
else:
	print(f"The power-law Hawkes was the better fit with BIC={BIC_pl:.2f}.")
	print(f"The exponentially-decaying Hawkes had BIC={BIC_exp:.2f}.")

# Create a Q-Q plot for the exponential-decay fit by
# first transforming the points to a unit-rate Poisson
# process as outlined by the random time change theorem
tsShifted = hawkes.exp_hawkes_compensators(ts, 𝛉_exp)
iat = np.diff(np.insert(tsShifted, 0, 0))
qqplot(iat, dist=stats.expon, fit=False, line="45")
plt.show()
```


