R package hawkes: Hawkes process simulation and calibration toolkit. The package allows to simulate Hawkes process both in univariate and multivariate settings. It gives functions to compute different moments of the number of jumps of the process on a given interval, such as mean, variance or autocorrelation of process jumps on time intervals separated by a lag.
Keywords for this software
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Sally Sun, Owen G. Ward, Jing Wu, Lihao Xiao, Xiaoxi Zhao, Tian Zheng: ppdiag: Diagnostic Tools for Temporal Point Processes (2021) not zbMATH
- Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas, Soren Poulsen: Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling (2017) arXiv