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NHPoisson: An R Package for Fitting and Validating Nonhomogeneous Poisson Processes

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  • Cebrián, Ana C.
  • Abaurrea, Jesús
  • Asín, Jesús

Abstract

NHPoisson is an R package for the modeling of nonhomogeneous Poisson processes in one dimension. It includes functions for data preparation, maximum likelihood estimation, covariate selection and inference based on asymptotic distributions and simulation methods. It also provides specific methods for the estimation of Poisson processes resulting from a peak over threshold approach. In addition, the package supports a wide range of model validation tools and functions for generating nonhomogenous Poisson process trajectories. This paper is a description of the package and aims to help those interested in modeling data using nonhomogeneous Poisson processes.

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  • Cebrián, Ana C. & Abaurrea, Jesús & Asín, Jesús, 2015. "NHPoisson: An R Package for Fitting and Validating Nonhomogeneous Poisson Processes," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 64(i06).
    • Handle: RePEc:jss:jstsof:v:064:i06
    DOI: http://hdl.handle.net/10.18637/jss.v064.i06
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    1. Brouste, Alexandre & Fukasawa, Masaaki & Hino, Hideitsu & Iacus, Stefano & Kamatani, Kengo & Koike, Yuta & Masuda, Hiroki & Nomura, Ryosuke & Ogihara, Teppei & Shimuzu, Yasutaka & Uchida, Masayuki & Y, 2014. "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 57(i04).
    2. J. L. Wadsworth & J. A. Tawn, 2012. "Likelihood-based procedures for threshold diagnostics and uncertainty in extreme value modelling," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(3), pages 543-567, June.
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