Package: emhawkes 0.9.7
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:
emhawkes_0.9.7.tar.gz
emhawkes_0.9.7.zip(r-4.5)emhawkes_0.9.7.zip(r-4.4)emhawkes_0.9.7.zip(r-4.3)
emhawkes_0.9.7.tgz(r-4.4-any)emhawkes_0.9.7.tgz(r-4.3-any)
emhawkes_0.9.7.tar.gz(r-4.5-noble)emhawkes_0.9.7.tar.gz(r-4.4-noble)
emhawkes_0.9.7.tgz(r-4.4-emscripten)emhawkes_0.9.7.tgz(r-4.3-emscripten)
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
Last updated 2 years agofrom:dc18650c73. Checks:OK: 5 NOTE: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 05 2024 |
| R-4.5-win | NOTE | Nov 05 2024 |
| R-4.5-linux | NOTE | Nov 05 2024 |
| R-4.4-win | OK | Nov 05 2024 |
| R-4.4-mac | OK | Nov 05 2024 |
| R-4.3-win | OK | Nov 05 2024 |
| R-4.3-mac | OK | Nov 05 2024 |
Exports:hfithsimhvolinfer_lambdalogLikresidual_process
Dependencies:digestgenericslatticemaxLikmiscToolssandwichzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Perform maximum likelihood estimation | hfit hfit,hspec-method |
| Realization of Hawkes process | hreal print.hreal summary.hreal |
| Simulate multivariate Hawkes process with exponential kernel. | hsim hsim,hspec-method |
| An S4 class to represent an exponential marked Hawkes model | hspec-class |
| Compute Hawkes volatility | hvol hvol,hspec-method |
| Infer lambda process with given Hawkes model and realized path | infer_lambda infer_lambda,hspec-method |
| Compute the log-likelihood function | logLik,hspec-method |
| Compute residual process | residual_process |
