3. C extensionΒΆ

The crucial algorithms of this package (simulation, likelihood and gradient computations, computation of residuals) are in fact implemented in C via Cython. The class HybridHawkesExp wraps a C extension that is compiled when the package is installed with pip.

Without the increase in computational speed provided by the C extension, the statistical inference of state-dependent Hawkes processes would be impractical.

The Cython code that generated the C extension is available in the GitHub repository (the .pyx file).