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.


Reference manual

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0.0-4 by Riadh Zaatour, 5 years ago

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

Authors: Riadh Zaatour <zaa[email protected]>

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN