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.
Package details |
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Maintainer | |
License | MIT + file LICENSE |
Version | 1.0.3 |
Package repository | View on GitHub |
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