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

Description Usage Arguments Value References Examples

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

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pc_hawkessim(object)

## S4 method for signature 'simHawkes'
pc_hawkessim(object)

Arguments

object

a simHawkes object

Value

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

References

Korkas Karolos. "Ensemble Binary Segmentation for irregularly spaced data with change-points" <arXiv:2003.03649>.

Examples

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pw.hawk.obj <- new("simHawkes")
pw.hawk.obj@cp.loc <- 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)

eNchange documentation built on March 26, 2020, 5:52 p.m.