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)
Package repositoryView on CRAN
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hawkes documentation built on May 2, 2019, 6:39 a.m.