Implementation Code for Hawkes Process with Stochastic Exogenous Effects for Continuous-Time Interaction Modelling.
SE_HP_PP.jl is the main code for Hawkes Process with Poisson Process distributed changepoints (Full SE-HP)
SE_HP_Fixed_changepoint.jl is the main code for Hawkes Process, with the changepoints fixed as the time points when node i initiates interactions to others.
SGMCMC_SE_HP.jl is the implementation code for Stochastic Gradient MCMC inference for SE-HP.