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.

Getting started

Package details

AuthorRiadh Zaatour <[email protected]>
Date of publication2014-05-19 16:33:15
MaintainerRiadh Zaatour <[email protected]o.fr>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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hawkes documentation built on May 29, 2017, 8:03 p.m.