hawkesbow - Estimation of Hawkes Processes from Binned Observations
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.
Last updated 1 years ago
cppopenmp
4.54 score 7 stars 4 scripts 204 downloadsstarma - Modelling Space Time AutoRegressive Moving Average (STARMA) Processes
Statistical functions to identify, estimate and diagnose a Space-Time AutoRegressive Moving Average (STARMA) model.
Last updated 4 years ago
openblascpp
2.38 score 2 stars 12 scripts 280 downloads