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 (≥
Published: 2014-05-19
DOI: 10.32614/CRAN.package.hawkes
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


Reference manual: hawkes.pdf


Package source: hawkes_0.0-4.tar.gz
Windows binaries: r-devel: hawkes_0.0-4.zip, r-release: hawkes_0.0-4.zip, r-oldrel: hawkes_0.0-4.zip
macOS binaries: r-release (arm64): hawkes_0.0-4.tgz, r-oldrel (arm64): hawkes_0.0-4.tgz, r-release (x86_64): hawkes_0.0-4.tgz, r-oldrel (x86_64): hawkes_0.0-4.tgz
Old sources: hawkes archive

Reverse dependencies:

Reverse imports: eNchange


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