hawkes: Hawkes process simulation and calibration toolkit

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

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Files in this package

hawkes
hawkes/src
hawkes/src/Makevars
hawkes/src/hawkes_utils.h
hawkes/src/hawkes.cpp
hawkes/src/Makevars.win
hawkes/src/RcppExports.cpp
hawkes/NAMESPACE
hawkes/R
hawkes/R/RcppExports.R
hawkes/MD5
hawkes/DESCRIPTION
hawkes/man
hawkes/man/jumpVariance.Rd hawkes/man/jumpMean.Rd hawkes/man/likelihoodHawkes.Rd hawkes/man/jumpAutocorrelation.Rd hawkes/man/simulateHawkes.Rd

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