Exponential Multivariate Hawkes Model

Simulate and fitting exponential multivariate Hawkes model. This package simulates a multivariate Hawkes model, introduced by Hawkes (1971) , 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) , with 'maxLik' package.


Please see vignettes.

News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("emhawkes")

0.9.0 by Kyungsub Lee, a year ago


Browse source code at https://github.com/cran/emhawkes


Authors: Kyungsub Lee [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports maxLik, methods

Suggests knitr, rmarkdown


See at CRAN