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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.
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cppopenmp
4.54 score 7 stars 8 scripts 406 downloadsstarma - Modelling Space Time AutoRegressive Moving Average (STARMA) Processes
Statistical functions to identify, estimate and diagnose a Space-Time AutoRegressive Moving Average (STARMA) model.
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openblascpp
2.62 score 3 stars 14 scripts 261 downloads