Description Usage Arguments Value References Examples
Perform the simulation of bi-variate Hawkes' mutually exciting point processes. The response functions are parameterized by the Laguerre-type polynomials.
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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.
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