fcheysson/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

LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
fcheysson/hawkesbow documentation built on April 12, 2021, 5:21 a.m.