Merge pull request #239 from Dekken/hawkes_fit

ModelHawkesExpKernLogLik fit operation order for end_times

Author: PhilipDeegan

tick/hawkes/model/model_hawkes_expkern_loglik.py

@@ -105,9 +105,9 @@ def fit(self, events, end_times=None):
             model. If None, it will be set to each realization's latest time.
             If only one realization is provided, then a float can be given.
         """
+        ModelHawkes.fit(self, events, end_times=end_times)
         ModelSecondOrder.fit(self, events)
-        ModelSelfConcordant.fit(self, events)
-        return ModelHawkes.fit(self, events, end_times=end_times)
+        return ModelSelfConcordant.fit(self, events)
 
     def _loss_and_grad(self, coeffs: np.ndarray, out: np.ndarray):
         value = self._model.loss_and_grad(coeffs, out)

tick/hawkes/model/tests/model_hawkes_expkern_loglik_test.py

@@ -196,6 +196,12 @@ def h_i(x):
 
                 self.assertLess(check_grad(g_i, h_i, self.coeffs), 1e-5)
 
+    def test_ModelHawkesExpKernLogLik_refit(self):
+        model = ModelHawkesExpKernLogLik(decay=1.0)
+        model.fit(events=[np.array([0.0, 50.0])], end_times=100.0)
+        model.fit(events=[np.array([0.0, 500.0])], end_times=1000.0)
+        model.fit(events=[np.array([0.0, 50.0])], end_times=100.0)
+
 
 if __name__ == '__main__':
     unittest.main()