sim_hawkes: Simulate inhomogenous Hawkes process

In AnthonyEbert/StateSpaceInference:

Description

Simulate inhomogenous Hawkes process

Usage

sim_hawkes(
  lambda_fun,
  history0 = NULL,
  kern,
  startT = max(history0),
  endT = 10,
  maxI = Inf,
  progressBar = TRUE
)

Arguments

lambda_fun	function for inhomogenous poisson process
history0	vector of historic times
kern	function Hawkes kernal
startT	numeric start time
endT	numeric end time
maxI	numeric maximum number of points to simulate

Examples

lambda_levels <- c(0.5, 1, 2, 1, 3, 0.5, 1, 1, 2, 0.5, 0.5, 0.5, 0.5, 2, 2, 2, 4, 0, 1, 1, 1)
lambda_fun <- stepfun(seq(10, 200, by = 10), y = lambda_levels)
kern <- function(x){return(decay_func(x, alpha = 1, delta = 1.2))}

x <- sim_hawkes(lambda_fun, NULL, kern, 0, 200)

hist(x, breaks = 200)

plot(lambda_fun, add = TRUE, col = "red")

AnthonyEbert/StateSpaceInference documentation built on May 25, 2021, 2:45 a.m.