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.

AuthorRiadh Zaatour <zaatour_riadh@yahoo.fr>
Date of publication2014-10-21 15:09:29
MaintainerRiadh Zaatour <zaatour_riadh@yahoo.fr>
LicenseGPL (>= 2)
Version0.0-5

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Files

hawkes/DESCRIPTION
hawkes/NAMESPACE
hawkes/R
hawkes/R/RcppExports.R
hawkes/man
hawkes/man/jumpAutocorrelation.Rd hawkes/man/jumpMean.Rd hawkes/man/jumpVariance.Rd hawkes/man/likelihoodHawkes.Rd hawkes/man/simulateHawkes.Rd
hawkes/src
hawkes/src/Makevars
hawkes/src/Makevars.win
hawkes/src/RcppExports.cpp
hawkes/src/hawkes.cpp
hawkes/src/hawkes_utils.h
hawkes/tests
hawkes/tests/test.R
hawkes/tests/test.Rout.save

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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