Pat-Laub / hawkesbook
[Python Package] Code from 'The Elements of Hawkes Processes' Book
☆27Updated last year
Alternatives and similar repositories for hawkesbook:
Users that are interested in hawkesbook are comparing it to the libraries listed below
- a python package for simulation and inference of Hawkes processes.☆63Updated 3 years ago
- fast parameter estimation for simpler Hawkes processes☆70Updated 2 years ago
- Python class for generation and parameter estimation of multivariate Hawkes processes☆162Updated last year
- Learning Hawkes Processes from a Handful of Events☆13Updated last year
- A toolbox of Hawkes processes☆111Updated 6 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated 7 months ago
- Generation and MLE Estimation for Multivariate Hawkes Process☆11Updated 5 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 7 years ago
- A PyTorch Implementation of Neural Hawkes Process. Redefined.☆32Updated 4 years ago
- Code and Data for CIKM Paper Feature Driven and Point Process Approaches for Popularity Prediction☆70Updated 7 years ago
- Hosting of ready-to-use machine learning datasets☆17Updated 6 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- ☆24Updated last year
- Recurrent Marked Temporal Point Processes☆56Updated 3 years ago
- code for "Fully Neural Network based Model for General Temporal Point Processes"☆60Updated 3 years ago
- ☆16Updated 2 years ago
- ☆17Updated 3 years ago
- MCMC Inference for a Hawkes process in Julia☆25Updated last year
- Python framework for inference in Hawkes processes.☆232Updated last year
- A PyTorch exercise in implementing a continuous time LSTM to simulate Neural Hawkes Process based on the paper by Hongyuan Mei and Jason …☆9Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Robust pricing and hedging via Neural SDEs☆31Updated 3 years ago
- A pytorch implementation of ERPP and RMTPP on ATM maintenance dataset.☆55Updated 5 years ago
- code for "Neural Jump Ordinary Differential Equations"☆28Updated last year
- A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.☆55Updated 7 months ago
- Codebase for Attentive Neural Hawkes Process (A-NHP) and Attentive Neural Datalog Through Time (A-NDTT)☆57Updated 3 weeks ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆21Updated 2 years ago
- Hawkes with Latency☆19Updated 4 years ago