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: | 0.9.7 |
| Depends: | R (≥ 3.4.0) |
| Imports: | methods, maxLik |
| Suggests: | knitr, rmarkdown, miscTools, V8 |
| Published: | 2023-02-02 |
| DOI: | 10.32614/CRAN.package.emhawkes |
| 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 NEWS |
| CRAN checks: | emhawkes results |
| Reference manual: | emhawkes.pdf |
| Vignettes: |
Example : emhawkes package |
| Package source: | emhawkes_0.9.7.tar.gz |
| Windows binaries: | r-devel: emhawkes_0.9.7.zip, r-release: emhawkes_0.9.7.zip, r-oldrel: emhawkes_0.9.7.zip |
| macOS binaries: | r-release (arm64): emhawkes_0.9.7.tgz, r-oldrel (arm64): emhawkes_0.9.7.tgz, r-release (x86_64): emhawkes_0.9.7.tgz, r-oldrel (x86_64): emhawkes_0.9.7.tgz |
| Old sources: | emhawkes archive |
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