hawkes_ogata: Simulation of a Hawkes process

In hawkesbow: Estimation of Hawkes Processes from Binned Observations

Description

Simulates a Hawkes process via Ogata's modified thinning algorithm on [0,\mathrm{end}]. This is less efficient than function hawkes, but can be useful for pedagogical reasons.

Usage

hawkes_ogata(end, lambda, alpha, beta, lambda0 = NULL)

Arguments

end	Right bound on time.
lambda	Baseline intensity.
alpha	Parameter for the amplitude of the spike.
beta	Parameter for the speed of exponential decay.
lambda0	(Optional) Initial value of the conditional intensity.

Value

A S3 object of class Hawkes containing a vector ($p) of simulated values, and all other objects used for the simulation.

Examples

# Simulate an exponential Hawkes process with baseline intensity 1 and
# excitation function 1*exp(-2t)
x <- hawkes_ogata(10, 1, 1, 2)
plot(x)

hawkesbow documentation built on April 10, 2021, 1:07 a.m.