hawkes

cranv0.0-4

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.

License GPL (>= 2)1 versions1 maintainers1 deps91 weekly dl
https://CRAN.R-project.org/package=hawkes
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Rcpp
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First published · 2014-05-19 10:33:16

Last updated · 2014-05-19T16:33:15+00:00