simbvh | R Documentation |

Perform the simulation of bi-variate Hawkes' mutually exciting point processes. The response functions are parameterized by the Laguerre-type polynomials.

```
simbvh(interval, axx = NULL, axy = NULL, axz = NULL, ayx = NULL,
ayy = NULL, ayz = NULL, c, d, c2, d2, ptxmax, ptymax)
```

`interval` |
length of time interval in which events take place. |

`axx` |
coefficients of Laguerre polynomial (lgp) of the transfer function (= response function) from the data events x to x (trf; x –> x). |

`axy` |
coefficients of lgp (trf; y –> x). |

`ayx` |
coefficients of lgp (trf; x –> y). |

`ayy` |
coefficients of lgp (trf; y –> y). |

`axz` |
coefficients of polynomial for x data. |

`ayz` |
coefficients of polynomial for y data. |

`c` |
exponential coefficient of lgp corresponding to xx. |

`d` |
exponential coefficient of lgp corresponding to xy. |

`c2` |
exponential coefficient of lgp corresponding to yx. |

`d2` |
exponential coefficient of lgp corresponding to yy. |

`ptxmax` |
an upper bound of trend polynomial corresponding to xz. |

`ptymax` |
an upper bound of trend polynomial corresponding to yz. |

`x` |
simulated data X. |

`y` |
simulated data Y. |

Ogata, Y., Katsura, K. and Zhuang, J. (2006) *Computer Science Monographs, No.32,
TIMSAC84: STATISTICAL ANALYSIS OF SERIES OF EVENTS (TIMSAC84-SASE) VERSION 2*.
The Institute of Statistical Mathematics.

Ogata, Y. (1981) *On Lewis' simulation method for point processes*.
IEEE Information Theory, IT-27, pp.23-31.

```
simbvh(interval = 20000,
axx = 0.01623,
axy = 0.007306,
axz = c(0.006187, -0.00000023),
ayz = c(0.0046786, -0.00000048, 0.2557e-10),
c = 0.4032, d = 0.0219, c2 = 1.0, d2 = 1.0,
ptxmax = 0.0062, ptymax = 0.08)
```

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