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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) <doi:10.48550/arXiv.2003.04314>. Some general use functions for Hawkes processes are also included: simulation of (in)homogeneous Hawkes process, maximum likelihood estimation, residual analysis, etc.
Version: | 1.0.3 |
Depends: | Rcpp |
Imports: | methods, nloptr |
LinkingTo: | Rcpp, RcppArmadillo, BH |
Suggests: | testthat (≥ 2.1.0), knitr, rmarkdown |
Published: | 2024-01-12 |
DOI: | 10.32614/CRAN.package.hawkesbow |
Author: | Felix Cheysson |
Maintainer: | Felix Cheysson <felix at cheysson.fr> |
License: | MIT + file LICENSE |
NeedsCompilation: | yes |
Materials: | README |
CRAN checks: | hawkesbow results |
Reference manual: | hawkesbow.pdf |
Vignettes: |
hawkesbow |
Package source: | hawkesbow_1.0.3.tar.gz |
Windows binaries: | r-devel: hawkesbow_1.0.3.zip, r-release: hawkesbow_1.0.3.zip, r-oldrel: hawkesbow_1.0.3.zip |
macOS binaries: | r-release (arm64): hawkesbow_1.0.3.tgz, r-oldrel (arm64): hawkesbow_1.0.3.tgz, r-release (x86_64): hawkesbow_1.0.3.tgz, r-oldrel (x86_64): hawkesbow_1.0.3.tgz |
Old sources: | hawkesbow archive |
Reverse suggests: | stelfi |
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