Multivariate history#79

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JoseKling merged 8 commits into

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MultivariateHistory

Apr 25, 2026

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JoseKling commented Mar 27, 2026 •

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Implementation of multivariate processes. Discussion in Issue #73

History

Contains an array times with the event times, an array marks with corresponding marks, and another array dims with corresponding dimension

UnivariatePointProcess and MultivariatePointProcess

All previous implementations remained unchanged, but now these processes are subtypes of UnivariatePointProcess.
Multivariate processes were implemented separetely as MultivariatePointProcess. This allowed the implementation of IndependentMultivariateProcess and MultivariatePoissonProcess simply using an array of univariate processes.

JoseKling added 5 commits

March 16, 2026 09:55


          Updated History and related tests

195e4fd

- Change the models to hold vectors of parameters instead of single
  parameters
- Update methods to return multivariate histories
- Update tests

Steps
- Update general interface for `AbstractPointProcess`
- Update `simulation.jl`
- Update homogeneous Poisson and related methods
- Update inhomogeneous Poisson and related methods
- Update hypothesis tests
    - They work only for univariate processes. Generalization for the
      futrue
- Ignore Hawkes processes, since they will be implemented in another PR


          Implemented multivariate Poissson processes

90f08d6

- Takes an array of parameters
- Methods like `ground_intensity` return an array
- Added methods with an argument `d::Int` to get the values from
  specific dimensions


          Revert "Implemented multivariate Poissson processes"

377926a

This reverts commit 90f08d6.
Instead of making all processes multivariate, implement tem separately.
- `AbstractMultivariateProcess`
- `IndependenteMultivariateProcess`
- `DependentMultivariateProcess`?
- Other processes, such as `MultivariateHawkesProcess`


          Separate interface for multivariate processes

1735eef


          Multivariate History and processes

1f8fdd7

Univariate and multivariate processes are different
types.

Implementation for univariate processes remained unchanged.

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JuliaFormatter

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 860 to 862 in 1f8fdd7

    
           InhomogeneousPoissonProcess{ 
        
               PiecewiseConstantIntensity{Float64},Dirac{Nothing} 
        
           },

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 896 to 898 in 1f8fdd7

    
           InhomogeneousPoissonProcess{ 
        
               PiecewiseConstantIntensity{Float64},Dirac{Nothing} 
        
           },

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 919 to 921 in 1f8fdd7

    
           InhomogeneousPoissonProcess{ 
        
               PiecewiseConstantIntensity{Float64},Dirac{Nothing} 
        
           },

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 946 to 948 in 1f8fdd7

    
           InhomogeneousPoissonProcess{ 
        
               PiecewiseConstantIntensity{Float64},Dirac{Nothing} 
        
           },

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 968 to 970 in 1f8fdd7

    
           InhomogeneousPoissonProcess{ 
        
               PiecewiseConstantIntensity{Float32},Dirac{Nothing} 
        
           },

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/inhomogeneous_poisson_process.jl

Lines 1143 to 1144 in 1f8fdd7

    
           pp_est.intensity_function.coefficients[i] - 
        
           intensity_true.coefficients[i],

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/multivariate_poisson_process.jl

Line 3 in 1f8fdd7

mark_dists = [Normal(), Exponential(1.0), Uniform(0,1)]

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/multivariate_poisson_process.jl

Line 28 in 1f8fdd7

    
           @test intensity(pp1, 0, 0, h) == [intensity(pp1.processes[d], 0, 0, h) for d in 1:ndims(pp1)]

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/multivariate_poisson_process.jl

Line 30 in 1f8fdd7

    
           @test log_intensity(pp1, 0, 0, h) ≈ [log_intensity(pp1.processes[d], 0, 0, h) for d in 1:ndims(pp1)]

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/multivariate_poisson_process.jl

Lines 70 to 71 in 1f8fdd7

    
           pp_est1 = fit(fill(PoissonProcess{Float64, Normal}, 3), h1) 
        
           pp_est2 = fit(fill(PoissonProcess{Float64, Normal}, 3), h2)

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/multivariate_poisson_process.jl

Line 97 in 1f8fdd7

end

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/poisson_process.jl

Line 78 in 1f8fdd7

[JuliaFormatter] _{reported by reviewdog 🐶}

PointProcesses.jl/test/poisson_process.jl

Line 83 in 1f8fdd7

end

codecov Bot commented Apr 12, 2026 •

edited

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✅ All modified and coverable lines are covered by tests.

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          Fix documentation and included some tests

7b29ed4

JoseKling marked this pull request as ready for review

April 13, 2026 16:49

JoseKling force-pushed the MultivariateHistory branch 2 times, most recently from 3e2718c to 13531e3 Compare

April 25, 2026 10:42


          Additional tests for codecov

271a4db

JoseKling force-pushed the MultivariateHistory branch from 13531e3 to 271a4db Compare

April 25, 2026 15:08


          Changes from JuliaFormatter

6595b4c

JoseKling merged commit 524b517 into main

5 of 6 checks passed

JoseKling mentioned this pull request

Representation of multivariate processes #73

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