hawkesbow (Q128142)
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Estimation of Hawkes Processes from Binned Observations
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| English | hawkesbow |
Estimation of Hawkes Processes from Binned Observations |
Statements
12 January 2024
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Implements an estimation method for Hawkes processes when count data are only observed in discrete time, using a spectral approach derived from the Bartlett spectrum, see Cheysson and Lang (2020) <arXiv:2003.04314>. Some general use functions for Hawkes processes are also included: simulation of (in)homogeneous Hawkes process, maximum likelihood estimation, residual analysis, etc.
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