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.


Reference manual

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1.0.2 by Felix Cheysson, 6 months ago

Browse source code at

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