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

In IHSEP: Inhomogeneous Self-Exciting Process

Simulate a Hawkes process, or Self-exciting point process

Description

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

Usage

simHawkes0(nu, g, cens = 1,
           nuM=max(optimize(nu,c(0,cens),maximum=TRUE)$obj,nu(0),nu(cens))*1.1,
           gM=max(optimize(g,c(0,cens),maximum=TRUE)$obj, g(0),g(cens))*1.1)

Arguments

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

Details

The function works by simulating the birth times generation by generation according to inhomegenous Poisson processes with appropriate intensity functions (ν or g).

Value

A list of vectors of arrival/birth times of individuals/events of generations 0, 1, ....

Note

Same algorithm as in simHawkes1, though the latter might be more succinct and (very slightly) faster.

Author(s)

Feng Chen <[e-mail]>

See Also

simHawkes1

Examples

asepp <- simHawkes0(nu=function(x)200*(2+cos(2*pi*x)),nuM=600,
                               g=function(x)8*exp(-16*x),gM=8)

IHSEP documentation built on Sept. 17, 2022, 1:05 a.m.