Package for state-dependent Hawkes processes

The mpoints package is a machine learning tool that implements the class of state-dependent Hawkes processes. Its key features include both simulation and estimation (statistical inference). It also contains a module with specialised plotting services.

State-dependent Hawkes processes belong to the class of hybrid marked point processes, a class that models the arrival in time of random events and their interaction with the state of a system.

We strongly recommend to first read the tutorial. It contains an introduction to this statistical model and illustrates the main services offered by the mpoints package.

For additional mathematical details, please consult the documentation and the references.

Contents:

• 1. Installation
• 2. Tutorial
  • 2.1. State-dependent Hawkes processes
  • 2.2. Setting up the model
  • 2.3. Simulation
  • 2.4. Statistical inference
  • 2.5. Application to high-frequency financial data
• 3. C extension
• 4. Documentation
  • 4.1. hybrid_hawkes_exp module
  • 4.2. plot_tools module
• 5. References
• 6. Support

Indices and tables

• Index
• Module Index
• Search Page