Package: emhawkes 0.9.8

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.

Authors:Kyungsub Lee [aut, cre]

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emhawkes.pdf |emhawkes.html
emhawkes/json (API)
NEWS

# Install 'emhawkes' in R:
install.packages('emhawkes', repos = c('https://ksublee.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ksublee/emhawkes/issues

On CRAN:

Conda:

3.40 score 5 stars 10 scripts 266 downloads 6 exports 7 dependencies

Last updated 2 months agofrom:e188f22acf. Checks:1 ERROR, 8 WARNING. Indexed: yes.

TargetResultLatest binary
Doc / VignettesFAILMar 06 2025
R-4.5-winWARNINGMar 06 2025
R-4.5-macWARNINGMar 06 2025
R-4.5-linuxWARNINGMar 06 2025
R-4.4-winWARNINGMar 06 2025
R-4.4-macWARNINGMar 06 2025
R-4.4-linuxWARNINGMar 06 2025
R-4.3-winWARNINGMar 06 2025
R-4.3-macWARNINGMar 06 2025

Exports:hfithsimhvolinfer_lambdalogLikresidual_process

Dependencies:digestgenericslatticemaxLikmiscToolssandwichzoo