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.

Getting started

Package details

AuthorRiadh Zaatour <[email protected]>
MaintainerRiadh Zaatour <[email protected]>
LicenseGPL (>= 2)
Version0.0-4
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("hawkes")

Try the hawkes package in your browser

Any scripts or data that you put into this service are public.

hawkes documentation built on May 29, 2017, 8:03 p.m.