hawkes: 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.
Version: |
0.0-4 |
Depends: |
R (≥ 3.0.2) |
Imports: |
Rcpp (≥ 0.11.1) |
LinkingTo: |
Rcpp, RcppArmadillo (≥ 0.4.100.2.1) |
Published: |
2014-05-19 |
Author: |
Riadh Zaatour |
Maintainer: |
Riadh Zaatour <zaatour_riadh at yahoo.fr> |
License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: |
yes |
CRAN checks: |
hawkes results |
Downloads:
Reverse dependencies:
Linking:
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