Simulate an (inhomogeneous) Poisson process with a given intensity/rate
function over the interval \([0,T]\)
Usage
simPois0(int, cens = 1, int.M = optimize(int, c(0, cens), maximum = TRUE)$obj * 1.1)
Value
A numerical vector giving the event/jump times of the Poisson process
in \([0,T]\), in ascending order.
Arguments
int
A (vectorized) positive function. The intensity/rate function.
cens
A positive scalar. The censoring time, or time of termination of
observations, \(T\).
int.M
A positive scalar. Maximum value of the intensity function over \([0,T]\),
or a value larger than this.
Author
Feng Chen <feng.chen@unsw.edu.au>
Details
The function works by first generating a Poisson process with constant
rate int.M oever \([0,T]\), and then thinning the process
with retention probability function
$$p(x)=\code{int}(x)/\code{int.M}$$.