eNchange (version 1.1)

pc_hawkessim-class: A method to simulate nonstationary Hawkes models.

Description

A S4 method that takes as an input a simHawkes object and outputs a simulated nonstationary Hawkes model. The formulation of the of the piecewise constant ACD model is given in the simHawkes class.

Usage

pc_hawkessim(object)
# S4 method for ANY
pc_hawkessim(object)

Value

Returns an object of simHawkes class containing a simulated piecewise constant Hawkes series.

Arguments

object

a simHawkes object

References

Korkas, K.K., 2022. Ensemble binary segmentation for irregularly spaced data with change-points. Journal of the Korean Statistical Society, 51(1), pp.65-86.

Examples

pw.hawk.obj <- new("simHawkes")
[e-mail] <- c(0.5)
pw.hawk.obj@lambda_0 <- c(1,2)
pw.hawk.obj@alpha <- c(0.2,0.2)
pw.hawk.obj@beta <- c(0.7,0.7)
pw.hawk.obj@horizon <- 1000
pw.hawk.obj <- pc_hawkessim(pw.hawk.obj)
ts.plot(pw.hawk.obj@H)
ts.plot(pw.hawk.obj@cH)