simHawkes0

Simulate an (inhomogeneous) self-exciting process with given background
intensity and excitation/fertility function.

datagen

point process

self-exciting

Simulate an inhomogeneous self-exciting process (IHSEP), or Hawkes process, with a given (possibly time-varying) baseline intensity and an excitation function. Calculate the likelihood of an IHSEP with given baseline intensity and excitation functions for an (increasing) sequence of event times. Calculate the point process residuals (integral transforms of the original event times). Calculate the mean intensity process.

Feng Chen

IHSEP

Inhomogeneous Self-Exciting Process

simHawkes0 function

<dl> <dt>nu</dt>
<dd>A (vectorized) function. The baseline intensity function.</dd> <dt>g</dt>
<dd>A (vectorized) function. The excitation function.</dd> <dt>cens</dt>
<dd>A scalar. The censoring time, or the time of termination of observations.</dd> <dt>nuM</dt>
<dd>A scalar. The maximum time of the baseline intensity from 0 to <code>cens</code>.</dd> <dt>gM</dt>
<dd>A scalar. The maximum time of the excitation function from 0 to <code>cens</code>.</dd></dl>

Arguments

Feng Chen &lt;feng.chen@unsw.edu.au&gt;

Author

Simulate a Hawkes process, or Self-exciting point process — simHawkes0

<dl>

 <dt>nu</dt>
<dd>A (vectorized) function. The baseline intensity function.</dd>

 <dt>g</dt>
<dd>A (vectorized) function. The excitation function.</dd>

 <dt>cens</dt>
<dd>A scalar. The censoring time, or the time of termination of observations.</dd>

 <dt>nuM</dt>
<dd>A scalar. The maximum time of the baseline intensity from 0 to <code>cens</code>.</dd>

 <dt>gM</dt>
<dd>A scalar. The maximum time of the excitation function from 0 to <code>cens</code>.</dd>

</dl>

simHawkes0: Simulate a Hawkes process, or Self-exciting point process

Description

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Arguments

Author

Details

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Examples