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.

Author
Riadh Zaatour <zaatour_riadh@yahoo.fr>
Date of publication
2014-10-21 15:09:29
Maintainer
Riadh Zaatour <zaatour_riadh@yahoo.fr>
License
GPL (>= 2)
Version
0.0-5

View on R-Forge

Man pages

jumpAutocorrelation
Autocorrelation of Hawkes process jumps on nonoverlapping...
jumpMean
Mean of Hawkes process jumps.
jumpVariance
Variance of Hawkes process jumps.
likelihoodHawkes
Compute the likelihood function of a hawkes process
simulateHawkes
Hawkes process simulation Function

Files in this package

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