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emhawkes
View on CRAN: Click
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Download and install emhawkes package within the R console
Install from CRAN:
install.packages("emhawkes")
Install from Github:
library("remotes")
install_github("cran/emhawkes")
Install by package version:
library("remotes")
install_version("emhawkes", "0.9.7")
Attach the package and use:
library("emhawkes")
Maintained by
Kyungsub Lee
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-09-17
Latest Update: 2023-02-02
Description:
Simulate and fitting exponential multivariate Hawkes model.
This package simulates a multivariate Hawkes model, introduced by Hawkes (1971) , 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) , with 'maxLik' package.
How to cite:
Kyungsub Lee (2018). emhawkes: Exponential Multivariate Hawkes Model. R package version 0.9.7, https://cran.r-project.org/web/packages/emhawkes
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Functions, R codes and Examples using
the emhawkes R package
Some associated functions: hfit . hreal . hsim . hspec-class . hvol . infer_lambda . logLik . residual_process .
Some associated R codes: harrival.R . hfit.R . hgfit.R . hllf.R . hmoment.R . hreal.R . hsim.R . hspec.R . script.R . utilities.R . Full emhawkes package functions and examples
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