ppdiag, diagnostic tools for temporal Point Processes

Classes

We create classes for each of the point process models included in the package. Currently, these are:

• Homogeneous Poisson Process

pp_hpp(lambda) creates a hpp object with rate parameter lambda.

hpp_obj <- pp_hpp(lambda = 1)
hpp_obj
#> Homogeneous Poisson Process 
#> lambda

• Hawkes Process:

pp_hp(lambda0, alpha, beta, events = NULL) creates a hp object.

hp_obj <- pp_hp(lambda0 = 0.5, alpha = 0.2, beta = 0.5)
hp_obj
#> Hawkes Process 
#> lambda0  0.5 
#> alpha  0.2 
#> beta  0.5

• Markov Modulated Poisson Process: pp_mmpp(lambda0, lambda1, alpha, beta, Q, delta) creates an mmpp object.

Q <- matrix(c(-0.4, 0.4, 0.2, -0.2), ncol = 2, byrow = TRUE)

mmpp_obj <- pp_mmpp(Q, delta = c(1 / 3, 2 / 3), 
          lambda0 = 0.8,
          c = 1.2)

mmpp_obj
#> Markov Modulated Poisson Process 
#> lambda0  0.8 
#> c  1.2 
#> Q  -0.4 0.2 0.4 -0.2 
#> delta 0.3333333 0.6666667

• Markov-Modulated Hawkes Process:

pp_mmhp(lambda0, lambda1, alpha, beta, Q, delta) creates an mmhp object.

mmhp_obj <- pp_mmhp(Q, delta = c(1 / 3, 2 / 3), 
          lambda0 = 0.2,
          lambda1 = .75,
          alpha = 0.1,
          beta = 0.2)

mmhp_obj
#> Markov Modulated Hawkes Process 
#> lambda0  0.2 
#> lambda1  0.75 
#> alpha  0.1 
#> beta  0.2 
#> Q  -0.4 0.2 0.4 -0.2 
#> delta 0.3333333 0.6666667

Simulating data

To simulate data from a given point process, we use the function pp_simulate(pp_obj, ...). Here the first argument specifies one of the above point processes, while the remaining arguments specify either the number of events simulated or the length of the observation period for possible events.

For example, we can simulate events up to a specified end time.

hpp_events <- pp_simulate(hpp_obj, end = 10)
hpp_events
#> [1] 1.178415 2.534481 3.128104 6.003689 6.761803 7.487947 7.695707 8.689093
#> [9] 9.293207

Alternatively, we can specify the number of events we wish to simulate.

hp_events <- pp_simulate(hp_obj, start = 0, n = 20)
hp_events
#>  [1]  0.9400185  1.1191265  2.1612737  2.5946876  3.5797847  3.9387649
#>  [7]  4.2368953  4.4670930  5.8820189  7.0152093  7.0853348  7.1232218
#> [13]  7.2054465  8.9124657  9.0370266  9.1803104  9.6651189  9.7494958
#> [19] 10.4788863 11.5731880

This returns the simulated events of the specified point process. For Markov Modulated processes, the states (and the times of these states) are also returned. In this scenario only a specified number of events can be simulated (currently).

mmhp_events <- pp_simulate(object = mmhp_obj, n = 20)
mmhp_events
#> $x
#>  [1]  0.000000  7.664158 11.697800 12.424969 15.895487 16.605268 17.615062
#>  [8] 20.980776 21.046057 24.448065 26.791573 27.144919 27.544524 43.189824
#> [15] 43.402157 43.453020 45.032403 64.820471
#> 
#> $z
#>  [1] 2 1 2 1 2 1 2 1 2 1 2 1 2 1 2 1 2 1
#> 
#> $events
#>  [1]  0.000000  5.708418  7.472399  8.274346  8.307444  8.730389  8.946091
#>  [8] 10.836852 11.262435 11.276123 11.678003 15.085856 15.268783 20.683729
#> [15] 33.193656 43.256217 43.650652 43.898249 44.241350 44.742261 46.478088
#> 
#> $zt
#>  [1] 2 2 2 1 1 1 1 1 1 1 1 1 1 2 2 1 1 1 1 1 2
#> 
#> $lambda.max
#> [1] 1.316867
#> 
#> $start
#> [1] 0
#> 
#> $end
#> [1] 64.82047

Fitting a point process

For completeness, we include functions for fitting both homogeneous Poisson and Hawkes processes to data. Fitting a Markov modulated model is more complex, although we describe this procedure in an included vignette.

fithpp(hpp_events) returns an object of class hpp, estimating the MLE of a homogenous Poisson process for hpp_events

fit_hpp <- fithpp(hpp_events)
fit_hpp
#> Homogeneous Poisson Process 
#> lambda  
#> events 1.178415 2.534481 3.128104 6.003689 6.761803 7.487947 7.695707 8.689093 9.293207

Similarly, fithp(hp_events) returns an object of class hp, estimating the three parameters of the Hawkes process from hp_events using constrOptim. This ensures that the returned solution (if one can be obtained), satisfies the stationary condition of a Hawkes process.

hp_events <- pp_simulate(hp_obj, n = 500)
fit_hp <- fithp(hp_events)
fit_hp$lambda0
#> [1] 0.4666573
fit_hp$alpha
#> [1] 0.3043066
fit_hp$beta
#> [1] 0.5540956

Diagnosing the fit of a point process to data

The main goal of this package is to provide users with tools to examine the fit of a specified point process to some data. There are several methods which can be used to assess the goodness of fit of a point process to temporal data. In this package we allow a user to:

• Visually inspect the estimated intensity of the point process.
• Examine the fitted intensity along with the distribution of rescaled inter-event times to help identify causes for lack of fit.
• Examine the distribution of the rescaled inter-event times, by utilising the time rescaling theorem.
• Examine the residual process of an estimated point process, in particular computing the raw and Pearson residuals for a given point process fit to data.

drawHPPIntensity(fit_hpp, events = hpp_events,
                 color = "red")

drawHPIntensity(fit_hp, events = hp_events)

drawHPIntensity(events = hp_events, fit = TRUE)

drawUniMMHPIntensity(mmhp_obj, mmhp_events)

intensityqqplot(object = fit_hp, events = hp_events )

# this gives an error currently
intensityqqplot(object = mmhp_obj, markov_states = mmhp_events)

pp_residual(object = mmhp_obj, events = mmhp_events$events)
#> $raw
#> [1] 4.478442
#> 
#> $pearson
#> [1] 3.388703

pp_residual(object = fit_hp, events = hp_events)
#> $raw
#> [1] 0.01260463
#> 
#> $pearson
#> [1] 0.01128254

pp_diag(object = fit_hp, events = hp_events)

#> Raw residual: 0.01260463
#> Pearson residual: 0.01128254
#> 
#>  One-sample Kolmogorov-Smirnov test
#> 
#> data:  r
#> D = 0.029183, p-value = 0.788
#> alternative hypothesis: two-sided