Estimation of Hawkes Processes from Binned Observations

Implements an estimation method for Hawkes processes when count data are only observed in discrete time, using a spectral approach derived from the Bartlett spectrum, see Cheysson and Lang (2020) . Some general use functions for Hawkes processes are also included: simulation of (in)homogeneous Hawkes process, maximum likelihood estimation, residual analysis, etc.


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install.packages("hawkesbow")

1.0.2 by Felix Cheysson, 3 days ago


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


Authors: Felix Cheysson [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports methods, nloptr

Depends on Rcpp

Suggests testthat, knitr, rmarkdown

Linking to Rcpp, RcppArmadillo, BH


See at CRAN