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 ORCID iD [aut, cre]
Maintainer: Felix Cheysson <felix at cheysson.fr>
License: MIT + file LICENSE
NeedsCompilation: yes
Materials: README
CRAN checks: hawkesbow results


Reference manual: hawkesbow.pdf
Vignettes: hawkesbow


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


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