Goodness-of-fit diagnostics for Hawkes EM algorithm #507
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
@PhilipDeegan Do you know why the build on Ubuntu is failing? |
|
consider rebasing #510, with that we can see if all the builds fail the same wya |
claudio-tw
changed the title
PhilipDeegan
reviewed
Mar 4, 2023
| ulong uv = u * n_nodes + v; | ||
| for (ulong k = 0; k < kernel_size; ++k) { | ||
| ulong vk = v * kernel_size + k; | ||
| double t = t0 + k * dt + .5 * dt; // kernel_discretization[k] + .5 * dt; |
There was a problem hiding this comment.
are these helpful in any way?
There was a problem hiding this comment.
I think so. The evaluation of the Hawkes kernel is very consequential for the EM algorithm. Before these tests were in place, I could not really be sure about the correctness of the evaluation.
There was a problem hiding this comment.
sorry I meant the commented out code, not the test
There was a problem hiding this comment.
ah, sure, that was meant to link the manual increment to the point in the array. I can take that out.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
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.