discrete

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.

Felix Cheysson

hawkesbow

Estimation of Hawkes Processes from Binned Observations

discrete function

<dl><dt>hawkes</dt>
<dd>An object created by the function <code>hawkes</code></dd>
<dt>length</dt>
<dd>(Either) The length for the output vector</dd>
<dt>binsize</dt>
<dd>(Either) The binsize for the discretization</dd></dl>

Arguments

Discretizes a Hawkes simulation — discrete

<dl>

<dt>hawkes</dt>
<dd>An object created by the function <code>hawkes</code></dd>


<dt>length</dt>
<dd>(Either) The length for the output vector</dd>


<dt>binsize</dt>
<dd>(Either) The binsize for the discretization</dd>

</dl>

discrete: Discretizes a Hawkes simulation

Description

Usage

Value

Arguments

Examples