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.


Reference manual

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0.9.0 by Kyungsub Lee, 2 years 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