simHawkes-class: An S4 class for a nonstationary ACD model.
In eNchange: Ensemble Methods for Multiple Change-Point Detection

Description Value Slots References Examples

A specification class to create an object of a simulated piecewise constant Hawkes model of order (1,1). We consider the following time-varying piecewise constant Hawkes process (which we term tvHawkes) λ({υ}) = λ_0({υ}) +∑_{{υ}_t < s} α({υ})e^{-β({υ}) ({υ}-{υ}_t)}, \ \mbox{for} \ {υ} = 1, …,T.

Returns an object of simHawkes class.

H: The durational time series.
cH: The psi time series.
horizon: The time horizon of a Hawkes process typically expressed in seconds. Effective sample size will differ depending on the size of the parameters.
N: Effective sample size which differs depending on the size of the parameters.
cp.loc: The vector with the location of the changepoints. Takes values from 0 to 1 or NULL if none. Default is NULL.
lambda_0: The vector of the parameters lambda_0 in the Hawkes model as in the above formula.
alpha: The vector of the parameters alpha in the Hawkes model as in the above formula.
beta: The vector of the parameters beta in the Hawkes model as in the above formula.

Korkas Karolos. "Ensemble Binary Segmentation for irregularly spaced data with change-points" Preprint.

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)