emhawkes: Exponential Multivariate Hawkes Model

Simulate and fitting exponential multivariate Hawkes model. This package simulates a multivariate Hawkes model, introduced by Hawkes (1971) <doi:10.2307/2334319>, with an exponential kernel and fits the parameters from the data. Models with the constant parameters, as well as complex dependent structures, can also be simulated and estimated. The estimation is based on the maximum likelihood method, introduced by introduced by Ozaki (1979) <doi:10.1007/BF02480272>, with 'maxLik' package.

Version: 0.9.5
Depends: R (≥ 3.4.0)
Imports: maxLik, methods
Suggests: knitr, rmarkdown
Published: 2021-02-16
Author: Kyungsub Lee [aut, cre]
Maintainer: Kyungsub Lee <kyungsub at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: README
CRAN checks: emhawkes results

Downloads:

Reference manual: emhawkes.pdf
Vignettes: Examle : emhakwes package
Package source: emhawkes_0.9.5.tar.gz
Windows binaries: r-devel: emhawkes_0.9.5.zip, r-release: emhawkes_0.9.5.zip, r-oldrel: emhawkes_0.9.5.zip
macOS binaries: r-release: emhawkes_0.9.5.tgz, r-oldrel: emhawkes_0.9.5.tgz
Old sources: emhawkes archive

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