hawkes: Hawkes process simulation and calibration toolkit
Version 0.0-5

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.

Getting started

Package details

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
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("hawkes", repos="http://R-Forge.R-project.org")

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hawkes documentation built on May 31, 2017, 3:01 a.m.