hawkes: Hawkes process simulation and calibration toolkit
Version 0.0-4

The package allows to simulate Hawkes process both in univariate and multivariate settings. It gives functions to compute different moments of the number of jumps of the process on a given interval, such as mean, variance or autocorrelation of process jumps on time intervals separated by a lag.

AuthorRiadh Zaatour <zaatour_riadh@yahoo.fr>
Date of publication2014-05-19 16:33:15
MaintainerRiadh Zaatour <zaatour_riadh@yahoo.fr>
LicenseGPL (>= 2)
Version0.0-4
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("hawkes")

Popular man pages

jumpAutocorrelation: Autocorrelation of Hawkes process jumps on nonoverlapping...
jumpMean: Mean of Hawkes process jumps.
jumpVariance: Variance of Hawkes process jumps.
likelihoodHawkes: Compute the likelihood function of a hawkes process
simulateHawkes: Hawkes process simulation Function
See all...

All man pages Function index File listing

Man pages

jumpAutocorrelation: Autocorrelation of Hawkes process jumps on nonoverlapping...
jumpMean: Mean of Hawkes process jumps.
jumpVariance: Variance of Hawkes process jumps.
likelihoodHawkes: Compute the likelihood function of a hawkes process
simulateHawkes: Hawkes process simulation Function

Functions

jumpAutocorrelation Man page Source code
jumpMean Man page Source code
jumpVariance Man page Source code
likelihoodHawkes Man page Source code
simulateHawkes Man page Source code

Files

src
src/Makevars
src/hawkes_utils.h
src/hawkes.cpp
src/Makevars.win
src/RcppExports.cpp
NAMESPACE
R
R/RcppExports.R
MD5
DESCRIPTION
man
man/jumpVariance.Rd
man/jumpMean.Rd
man/likelihoodHawkes.Rd
man/jumpAutocorrelation.Rd
man/simulateHawkes.Rd
hawkes documentation built on May 19, 2017, 6:27 p.m.

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