Goodness-of-fit diagnostics for Hawkes EM algorithm

lib/cpp-test/hawkes/inference/CMakeLists.txt

@@ -0,0 +1,16 @@
+add_executable(tick_test_hawkes_inference
+        hawkes_em_gtest.cpp
+        )
+
+target_link_libraries(tick_test_hawkes_inference
+        ${TICK_LIB_ARRAY}
+        ${TICK_LIB_BASE}
+        ${TICK_LIB_CRANDOM}
+        ${TICK_LIB_BASE_MODEL}
+        ${TICK_LIB_LINEAR_MODEL}
+	${TICK_LIB_HAWKES_INFERENCE}
+        ${TICK_LIB_HAWKES_MODEL}
+        ${TICK_TEST_LIBS}
+        )
+
+

lib/cpp-test/hawkes/inference/hawkes_em_gtest.cpp

@@ -0,0 +1,49 @@
+// License: BSD 3 clause
+
+#include <gtest/gtest.h>
+#include "tick/hawkes/inference/hawkes_em.h"
+
+class HawkesEMTest : public ::testing::Test {
+ protected:
+  ulong n_nodes;
+  double kernel_support;
+  ulong kernel_size;
+  ArrayDouble mu;
+  ArrayDouble2d kernels;
+  HawkesEM em;
+  void SetUp() override {
+    n_nodes = 2;
+    kernel_support = 1.;
+    kernel_size = 10;
+    em = HawkesEM(kernel_support, kernel_size, 1);
+    mu = ArrayDouble{.05, .05};
+    kernels = ArrayDouble2d{
+        {.1, .1, .1, .1, .1, .1, .1, .1, .1, .1, .2, .2, .1, .0, .0, .0, .0, .1, .2, .2},
+        {.0, .0, .0, .0, .0, .0, .0, .0, .0, .0, .0, .0, .2, .2, .4, .1, .1, .0, .0, .0}};
+  }
+};
+
+TEST_F(HawkesEMTest, get_kernel_size) { EXPECT_EQ(em.get_kernel_size(), kernel_size); }
+
+TEST_F(HawkesEMTest, init_kernel_time_func) {
+  em.init_kernel_time_func(kernels);
+  std::vector<TimeFunction>& timefunc = em.get_kernel_time_func();
+  ArrayDouble kernel_discretization = *em.get_kernel_discretization();
+  for (ulong u = 0; u < n_nodes; ++u) {
+    for (ulong v = 0; v < n_nodes; ++v) {
+      ulong uv = u * n_nodes + v;
+      for (ulong k = 0; k < kernel_size; ++k) {
+        ulong vk = v * kernel_size + k;
+        double t = kernel_discretization[k];
+        EXPECT_DOUBLE_EQ(timefunc[uv].evaluate(t), kernels(u, vk));
+      }
+    }
+  }
+}
+
+#ifdef ADD_MAIN
+int main(int argc, char** argv) {
+  ::testing::InitGoogleTest(&argc, argv);
+  return RUN_ALL_TESTS();
+}
+#endif  // ADD_MAIN