hawkesbow: 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) <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 [aut, cre] |
| Maintainer: | Felix Cheysson <felix at cheysson.fr> |
| License: | MIT + fileLICENSE |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | hawkesbow results |
Documentation:
| Reference manual: | hawkesbow.html ,hawkesbow.pdf |
| Vignettes: | hawkesbow (source,R code) |
Downloads:
| 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 dependencies:
| Reverse suggests: | stelfi |
Linking:
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