ksublee/emhawkes: Exponential Multivariate Hawkes Model

Simulate and fitting exponential multivariate Hawkes model. This package simulates a multivariate Hawkes model, introduced by Hawkes (1971) <doi:10.1093/biomet/58.1.83>, with an exponential kernel and fits the parameters from the data. Models with the constant parameters, as well as complex dependent structures, can also be simulated and estimated. The estimation is based on the maximum likelihood method, introduced by introduced by Ozaki (1979) <doi:10.1007/BF02480272>, with 'maxLik' package.

Getting started

Package details

MaintainerKyungsub Lee <kyungsub@gmail.com>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ksublee/emhawkes documentation built on July 1, 2020, 7:46 a.m.