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 (≥ 0.4.100.2.1)
Published: 2014-05-19
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

Downloads:

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
OS X Snow Leopard binaries: r-release: hawkes_0.0-4.tgz, r-oldrel: hawkes_0.0-4.tgz
OS X Mavericks binaries: r-release: hawkes_0.0-4.tgz
Old sources: hawkes archive