Basic Hawkes model | Univariate Hawkes process | A first residual check | Bivariate Hawkes model | Observed data and initial state | Choosing the optimizer | Further reading
Package: emhawkes 1.0.0
emhawkes: Exponential Multivariate Hawkes Model
Simulate and fit multivariate Hawkes models with exponential kernels, introduced by Hawkes (1971) <doi:10.2307/2334319>. Includes marked, state-dependent, and multi-kernel specifications. Parameter estimation uses maximum likelihood, following Ozaki (1979) <doi:10.1007/BF02480272>, through the optional 'maxLik' package or the optimization functions supplied with R.
Authors:
emhawkes_1.0.0.tar.gz
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emhawkes_1.0.0.tgz(r-4.6-x86_64)emhawkes_1.0.0.tgz(r-4.6-arm64)emhawkes_1.0.0.tgz(r-4.5-x86_64)emhawkes_1.0.0.tgz(r-4.5-arm64)
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emhawkes_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
emhawkes/json (API)
| # 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
Pkgdown/docs site:https://ksublee.github.io
Last updated from:ff88915e34. Checks:13 ERROR, 2 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | ERROR | 211 | ||
| linux-devel-x86_64 | ERROR | 204 | ||
| source / vignettes | OK | 185 | ||
| linux-release-arm64 | ERROR | 207 | ||
| linux-release-x86_64 | ERROR | 166 | ||
| macos-release-arm64 | ERROR | 185 | ||
| macos-release-x86_64 | ERROR | 451 | ||
| macos-oldrel-arm64 | ERROR | 158 | ||
| macos-oldrel-x86_64 | ERROR | 387 | ||
| windows-devel-arm64 | ERROR | 335 | ||
| windows-devel-x86_64 | ERROR | 288 | ||
| windows-release-arm64 | ERROR | 310 | ||
| windows-release-x86_64 | ERROR | 176 | ||
| windows-oldrel-x86_64 | ERROR | 178 | ||
| wasm-release | OK | 106 |
Exports:dtzexpexpected_taufit_diagnosticsfit_initial_statefitted_hspechfithsimhvolinfer_lambdainitializelogLikptzexpqtzexpresidual_processrtzexpset_residualshow
Dependencies:Rcpp
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Expected Inter-Arrival Time | expected_tau expected_tau,hspec-method |
| Inspect Fit Computation and Curvature Diagnostics | fit_diagnostics |
| Retrieve Initial-State Arguments from a Hawkes Fit | fit_initial_state |
| Restore an Estimated Hawkes Specification | fitted_hspec |
| Perform Maximum Likelihood Estimation | hfit hfit,hspec-method |
| Realization of Hawkes Process | as.matrix.hreal hreal print.hreal summary.hreal |
| Simulate an Exponential Hawkes Process | hsim hsim,hspec-method |
| An S4 Class Representing an Exponential Marked Hawkes Model | hspec-class initialize,hspec-method show,hspec-method |
| Compute Hawkes volatility | hvol hvol,hspec-method |
| Infer Intensity Paths (Deprecated) | infer_lambda infer_lambda,hspec-method |
| Compute the Log-Likelihood Function | logLik logLik,hspec-method |
| Compute a Residual Process (Deprecated) | residual_process |
| Set Residual Distribution Functions for Hawkes Model Specification | set_residual set_residual,hspec-method |
| Trapezoid + Exponential Distribution | dtzexp ptzexp qtzexp rtzexp tzexp |