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hawkesbow: Estimation of Hawkes Processes from Binned Observations
Implements an estimation method for Hawkes processes when count data are only observed in discrete time, using a spectral approach derived from the Bartlett spectrum, see Cheysson and Lang (2020) <arXiv:2003.04314>. Some general use functions for Hawkes processes are also included: simulation of (in)homogeneous Hawkes process, maximum likelihood estimation, residual analysis, etc.
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Package details |
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| Author | Felix Cheysson [aut, cre] (<https://orcid.org/0000-0002-9095-2878>) |
| Maintainer | Felix Cheysson <felix@cheysson.fr> |
| License | MIT + file LICENSE |
| Version | 1.0.2 |
| Package repository | View on CRAN |
| Installation |
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