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.
- Version0.0-4
- R version≥ 3.0.2
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release05/19/2014
Team
Riadh Zaatour
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- Imports1 package
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