hsim: Simulate multivariate Hawkes process with exponential kernel.

In emhawkes: Exponential Multivariate Hawkes Model

Simulate multivariate Hawkes process with exponential kernel.

Description

The method simulate multivariate Hawkes processes. The object hspec-class contains the parameter values such as mu, alpha, beta. The mark (jump) structure may or may not be included. It returns an object of class hreal which contains inter_arrival, arrival, type, mark, N, Nc, lambda, lambda_component, rambda, rambda_component.

Usage

hsim(object, size = 100, lambda_component0 = NULL, N0 = NULL, ...)

## S4 method for signature 'hspec'
hsim(object, size = 100, lambda_component0 = NULL, N0 = NULL, ...)

Arguments

object	hspec-class. S4 object that specifies the parameter values.
size	Number of observations.
lambda_component0	Starting values of lambda component. numeric or matrix.
N0	Starting values of N with default value 0.
...	Further arguments passed to or from other methods.

Value

hreal S3-object, summary of the Hawkes process realization.

Examples

# example 1

mu <- 1; alpha <- 1; beta <- 2
h <- new("hspec", mu=mu, alpha=alpha, beta=beta)
hsim(h, size=100)


# example 2
mu <- matrix(c(0.1, 0.1), nrow=2)
alpha <- matrix(c(0.2, 0.1, 0.1, 0.2), nrow=2, byrow=TRUE)
beta <- matrix(c(0.9, 0.9, 0.9, 0.9), nrow=2, byrow=TRUE)
h <- new("hspec", mu=mu, alpha=alpha, beta=beta)
res <- hsim(h, size=100)
print(res)

emhawkes documentation built on Feb. 16, 2023, 9:02 p.m.